|
| |
| Martín Jorge Egozcue |
| |
| ''Gains from diversification: a regret theory approach'' |
| ( 2012, Vol. 32 No.1 ) |
| |
| |
| 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. |
| |
| |
| Keywords: optimization; diversification; regret theory; quadrant dependent. |
|
| |
| Manuscript Received : Sep 09 2011 | | Manuscript Accepted : Jan 13 2012 |
|
