In this paper the dynamic portfolio selection problem is studied for the first time in a dual utility theory framework. The Wang transform is used as distortion function and well diversified optimal portfolios result both with and without short sales allowed.
Cenci, M., Gheno, A. (2006). Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework. ASTIN BULLETIN, 36, 505-520 [10.2143/AST.36.2.2017932].
Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework
GHENO, Andrea
2006-01-01
Abstract
In this paper the dynamic portfolio selection problem is studied for the first time in a dual utility theory framework. The Wang transform is used as distortion function and well diversified optimal portfolios result both with and without short sales allowed.File in questo prodotto:
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