Second-Order Uncertainty and Naive Diversification
Journal
Economics Letters
ISSN
0165-1765
Type
journal article
Date Issued
2022-05-04
Author(s)
Abstract (De)
This paper introduces a new model for decision making under ambiguity called second-order uncertainty. The decision maker considers all probability distributions associated with the given options, and chooses the allocation that minimizes the variability of outcome across all probabilities. Optimal allocation under second-order uncertainty is the equal weighted allocation, also called naive diversification.
Language
English
HSG Classification
contribution to scientific community
HSG Profile Area
SEPS - Quantitative Economic Methods
Refereed
Yes
Official URL
Division(s)
Eprints ID
266204
File(s)![Thumbnail Image]()
open.access
Name
laplace_v4.pdf
Size
307.99 KB
Format
Adobe PDF
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