Non-diversified portfolios with subjective expected utility

C-Tier
Journal: Economics Letters
Year: 2024
Volume: 244
Issue: C

Score contribution per author:

0.505 = (α=2.02 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:244:y:2024:i:c:s0165176524005202
Journal Field
General
Author Count
2
Added to Database
2026-01-25