Investment behavior under ambiguity: The case of pessimistic decision makers
نویسندگان
چکیده
منابع مشابه
Investment behavior under ambiguity: The case of pessimistic decision makers
We de ne pessimistic, respectively optimistic, investors as CEU (Choquet expected utility) decision makers who update their pessimistic, respectively optimistic, beliefs according to a pessimistic (Dempster-Shafer), respectively optimistic, update rule. This paper then demonstrates that, in contrast to optimistic investors, pessimistic investors may strictly prefer investing in an illiquid asse...
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We prove that under mild conditions individually rational Pareto optima will exist even in presence of non-convex preferences. We consider decision makers dealing with a countable flow of payoffs or choosing among financial assets whose outcomes depend on the realization of a countable set of states of the world. Our conditions for the existence of Pareto optima can be interpreted as a requirem...
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This study provides novel evidence on the role of ambiguity aversion in determining the response of mutual fund investors to historical fund performance information. We present a model of ambiguity averse investors who receive multiple performance-based signals of uncertain precision about manager skill. A key implication of the model is that when investors receive multiple signals of uncertain...
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ژورنال
عنوان ژورنال: Mathematical Social Sciences
سال: 2006
ISSN: 0165-4896
DOI: 10.1016/j.mathsocsci.2006.03.007