Dynamic portfolio selection in a dual expected utility theory framework

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.

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Year of publication:	2005-12
Authors:	Cenci, Marisa ; Corradini, Massimiliano ; Gheno, Andrea
Institutions:	Dipartimento di Economia, Università degli Studi di Roma 3
Subject:	Portfolio Selection \| Dual Utility Theory \| Wang Transform

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Extent:	application/pdf
Series:	Departmental Working Papers of Economics - University 'Roma Tre'.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number 0056 2 pages long
Classification:	G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005405038