Uncertainty aversion and the optmal choice of portfolio

Detalhes bibliográficos
Autor(a) principal: Dow, James
Data de Publicação: 1988
Outros Autores: Werlang, Sérgio Ribeiro da Costa
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Institucional do FGV (FGV Repositório Digital)
Texto Completo: http://hdl.handle.net/10438/648
Resumo: In this paper we apply the theory of declsion making with expected utility and non-additive priors to the choice of optimal portfolio. This theory describes the behavior of a rational agent who i5 averse to pure 'uncertainty' (as well as, possibly, to 'risk'). We study the agent's optimal allocation of wealth between a safe and an uncertain asset. We show that there is a range of prices at which the agent neither buys not sells short the uncertain asset. In contrast the standard theory of expected utility predicts that there is exactly one such price. We also provide a definition of an increase in uncertainty aversion and show that it causes the range of prices to increase.
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spelling Dow, JamesWerlang, Sérgio Ribeiro da CostaEscolas::EPGEFGV2008-05-13T15:29:08Z2008-05-13T15:29:08Z19880104-8910http://hdl.handle.net/10438/648In this paper we apply the theory of declsion making with expected utility and non-additive priors to the choice of optimal portfolio. This theory describes the behavior of a rational agent who i5 averse to pure 'uncertainty' (as well as, possibly, to 'risk'). We study the agent's optimal allocation of wealth between a safe and an uncertain asset. We show that there is a range of prices at which the agent neither buys not sells short the uncertain asset. In contrast the standard theory of expected utility predicts that there is exactly one such price. We also provide a definition of an increase in uncertainty aversion and show that it causes the range of prices to increase.engEscola de Pós-Graduação em Economia da FGVEnsaios Econômicos;115Todo cuidado foi dispensado para respeitar os direitos autorais deste trabalho. Entretanto, caso esta obra aqui depositada seja protegida por direitos autorais externos a esta instituição, contamos com a compreensão do autor e solicitamos que o mesmo faça contato através do Fale Conosco para que possamos tomar as providências cabíveisinfo:eu-repo/semantics/openAccessUncertainty aversion and the optmal choice of portfolioinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleEconomiaPreçosRisco (Economia)Economiareponame:Repositório Institucional do FGV (FGV Repositório Digital)instname:Fundação Getulio Vargas (FGV)instacron:FGVORIGINAL115_000051314.pdf115_000051314.pdfapplication/pdf939018https://repositorio.fgv.br/bitstreams/f8c345c6-f938-4841-bcc5-d7588290e040/download34a9d4d9ab35aa3787f2a27a5645c7cfMD51TEXT115_000051314.pdf.txt115_000051314.pdf.txtExtracted texttext/plain42275https://repositorio.fgv.br/bitstreams/a0fa382f-3fd7-4b4d-ac4f-edf667e5e70f/downloadd85e3d415ea28a260032e9c1a5deb407MD56THUMBNAIL115_000051314.pdf.jpg115_000051314.pdf.jpgGenerated Thumbnailimage/jpeg2534https://repositorio.fgv.br/bitstreams/c7082c3b-4b9e-4cf6-bebe-70d03ee70622/downloadacdb23a14b2b870371cf5a42600b5e72MD5710438/6482023-11-08 15:20:09.2open.accessoai:repositorio.fgv.br:10438/648https://repositorio.fgv.brRepositório InstitucionalPRIhttp://bibliotecadigital.fgv.br/dspace-oai/requestopendoar:39742023-11-08T15:20:09Repositório Institucional do FGV (FGV Repositório Digital) - Fundação Getulio Vargas (FGV)false
dc.title.eng.fl_str_mv Uncertainty aversion and the optmal choice of portfolio
title Uncertainty aversion and the optmal choice of portfolio
spellingShingle Uncertainty aversion and the optmal choice of portfolio
Dow, James
Economia
Preços
Risco (Economia)
Economia
title_short Uncertainty aversion and the optmal choice of portfolio
title_full Uncertainty aversion and the optmal choice of portfolio
title_fullStr Uncertainty aversion and the optmal choice of portfolio
title_full_unstemmed Uncertainty aversion and the optmal choice of portfolio
title_sort Uncertainty aversion and the optmal choice of portfolio
author Dow, James
author_facet Dow, James
Werlang, Sérgio Ribeiro da Costa
author_role author
author2 Werlang, Sérgio Ribeiro da Costa
author2_role author
dc.contributor.unidadefgv.por.fl_str_mv Escolas::EPGE
dc.contributor.affiliation.none.fl_str_mv FGV
dc.contributor.author.fl_str_mv Dow, James
Werlang, Sérgio Ribeiro da Costa
dc.subject.area.por.fl_str_mv Economia
topic Economia
Preços
Risco (Economia)
Economia
dc.subject.bibliodata.por.fl_str_mv Preços
Risco (Economia)
Economia
description In this paper we apply the theory of declsion making with expected utility and non-additive priors to the choice of optimal portfolio. This theory describes the behavior of a rational agent who i5 averse to pure 'uncertainty' (as well as, possibly, to 'risk'). We study the agent's optimal allocation of wealth between a safe and an uncertain asset. We show that there is a range of prices at which the agent neither buys not sells short the uncertain asset. In contrast the standard theory of expected utility predicts that there is exactly one such price. We also provide a definition of an increase in uncertainty aversion and show that it causes the range of prices to increase.
publishDate 1988
dc.date.issued.fl_str_mv 1988
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dc.language.iso.fl_str_mv eng
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dc.relation.ispartofseries.por.fl_str_mv Ensaios Econômicos;115
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