Non-diversified portfolios with subjective expected utility
Fuente:
arXiv
Gespeichert in:
| Hauptverfasser: | , |
|---|---|
| Format: | Preprint |
| Veröffentlicht: |
2023
|
| Schlagworte: | |
| Online-Zugang: | |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| _version_ | 1866914974817845248 |
|---|---|
| author | Chambers, Christopher P. Gerasimou, Georgios |
| author_facet | Chambers, Christopher P. Gerasimou, Georgios |
| contents | Diversification is the typical investment strategy of risk-averse agents. However, non-diversified positions that allocate all resources to a single asset, state of the world or revenue stream are common too. We show that whenever finitely many non-diversified demands under uncertainty are compatible with risk-averse subjective expected utility maximization under strictly positive beliefs, they are also rationalizable under the same beliefs by many qualitatively distinct risk-averse as well as risk-neutral and risk-seeking preferences. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2304_08059 |
| institution | arXiv |
| publishDate | 2023 |
| record_format | arxiv |
| spellingShingle | Non-diversified portfolios with subjective expected utility Chambers, Christopher P. Gerasimou, Georgios Theoretical Economics Diversification is the typical investment strategy of risk-averse agents. However, non-diversified positions that allocate all resources to a single asset, state of the world or revenue stream are common too. We show that whenever finitely many non-diversified demands under uncertainty are compatible with risk-averse subjective expected utility maximization under strictly positive beliefs, they are also rationalizable under the same beliefs by many qualitatively distinct risk-averse as well as risk-neutral and risk-seeking preferences. |
| title | Non-diversified portfolios with subjective expected utility |
| topic | Theoretical Economics |
| url | https://arxiv.org/abs/2304.08059 |