Optimal portfolio under state-dependent expected utility

DOI10.1142/S0219024918500139MaRDI QIDQ4565071zbMATH OpenOpenAlexWikidataFDO

Authors Carole Bernard, Steven Vanduffel, Jiang Ye

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

zbMATH Keywords

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

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 920136 (Why is no real title available?)
• Advances in prospect theory: cumulative representation of uncertainty
• An explicit option-based strategy that outperforms dollar cost averaging
• First order versus second order risk aversion
• Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
• On the construction of optimal payoffs
• Optimal payoffs under state-dependent preferences
• Optimum consumption and portfolio rules in a continuous-time model
• Prospect Theory: An Analysis of Decision under Risk
• Rationalizing investors' choices
• Simplified hedge for path-dependent derivatives
• The Dual Theory of Choice under Risk
• Theory of games and economic behavior.

Cited in

(14)

• Portfolio benchmarks in defined contribution pension plan management
• 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
• A framework of state-dependent utility optimisation with general benchmarks
• BOUNDED STRATEGIES FOR MAXIMIZING THE SHARPE RATIO
• Multivariate portfolio choice via quantiles
• Standardized versus customized portfolio: a compensating variation approach
• Optimal payoffs under state-dependent preferences
• Optimal portfolio selection based on a path-dependent utility function
• Optimal claims with fixed payoff structure
• Reference dependence and endogenous anchors
• On the construction of optimal payoffs
• Present value based portfolio choice

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