Gains from diversification: a regret theory approach
In this paper we analyze a regret-averse individual best choice in a two risky assets portfolio. We extend previous literature and contribute new results by considering a model with two assets. We get the conditions for the regret-averse investor to diversify the portfolio. We additionally compare the behavior of the regret-averse investor with the behavior of its risk-averse counterpart. We characterize the conditions under which both types of agents behavior coincide.
Year of publication: |
2012
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---|---|
Authors: | Egozcue, Martín Jorge |
Published in: |
Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 32.2012, 1, p. 204-219
|
Publisher: |
AccessEcon |
Subject: | optimization | diversification | regret theory | quadrant dependent |
Saved in:
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