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ralph lauren polo

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.
JEL: G0 - Financial Economics: General
Manuscript Received : Sep 09 2011 Manuscript Accepted : Jan 13 2012

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