Subadditive Probabilities and Portfolio Inertia

Mario Henrique Simonsen and Sergio Werlang

Brazilian Review of Econometrics, 1991, vol. 11, issue 1

Abstract: We show that in the presence of uncertainty (in the sense of Knight), as axiomatized by Schmeidler (1982, 1984) and Gilboa (1987) (as opposed to the classical view of Savage (1954)) one may obtain portfolio inertia with positive quantities held of all assets. We also present a comprehensive survey of the recent literature on uncertainty, with special emphasis on the subadditive probabilities model.

Date: 1991
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Working Paper: Subadditive probabilities and portfolio inertia (1990)
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Persistent link: https://EconPapers.repec.org/RePEc:sbe:breart:v:11:y:1991:i:1:a:3007

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