Uncertainty aversion and the optmal choice of portfolio
Autor(a) principal: | |
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Data de Publicação: | 1988 |
Outros Autores: | |
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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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 |
dc.date.accessioned.fl_str_mv |
2008-05-13T15:29:08Z |
dc.date.available.fl_str_mv |
2008-05-13T15:29:08Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10438/648 |
dc.identifier.issn.none.fl_str_mv |
0104-8910 |
identifier_str_mv |
0104-8910 |
url |
http://hdl.handle.net/10438/648 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.relation.ispartofseries.por.fl_str_mv |
Ensaios Econômicos;115 |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
publisher.none.fl_str_mv |
Escola de Pós-Graduação em Economia da FGV |
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