Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework

DOI10.2143/AST.36.2.2017932MaRDI QIDQ3632847zbMATH OpenOpenAlexFDO

Authors Massimiliano Corradini, Andrea Gheno, Marisa Cenci

Publication date 15 June 2009

Published in ASTIN Bulletin (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2143/ast.36.2.2017932

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions
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• DYNAMIC PORTFOLIO SELECTION WITH UNCERTAINTY
• Dynamic portfolio choice problems with non-monotone utility functions
• Dynamic Portfolio Optimization with Bounded Shortfall Risks

Cites work

• A Universal Framework for Pricing Financial and Insurance Risks
• Convex duality in constrained portfolio optimization
• Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
• On the pricing of contingent claims under constraints
• Risk, ambiguity and the Savage axioms
• The Dual Theory of Choice under Risk

Cited in

(6)

• Optimal payoff under the generalized dual theory of choice
• Evaluating Portfolio Policies: A Duality Approach
• MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS
• Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions
• Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework
• Portfolio selection: a linear approach with dual expected utility

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