Optimal portfolio under state-dependent expected utility

DOI10.1142/S0219024918500139zbMATH Open1398.91504OpenAlexW2794446925WikidataQ130048468 ScholiaQ130048468MaRDI QIDQ4565071FDOQ4565071

Steven Vanduffel, Jiang Ye, Carole Bernard

Publication date: 7 June 2018

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024918500139

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zbMATH Keywords

cost-efficiencyportfolio theoryexpected utility theoryloss aversionprospect theorystate-dependent utilityoptimal portfolio choice

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Theory of games and economic behavior.
• The Dual Theory of Choice under Risk
• Advances in prospect theory: cumulative representation of uncertainty
• Prospect Theory: An Analysis of Decision under Risk
• Title not available (Why is that?)
• First order versus second order risk aversion
• Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
• Optimal payoffs under state-dependent preferences
• Rationalizing investors' choices
• On the construction of optimal payoffs
• An explicit option-based strategy that outperforms dollar cost averaging
• Simplified hedge for path-dependent derivatives

Cited In (5)

• Mean utility preserving increases in risk for state dependent utility functions
• Optimal portfolios in Lévy markets under state-dependent bounded utility functions
• Equilibrium investment with random risk aversion
• BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
• Present value based portfolio choice

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