Optimal portfolio under state-dependent expected utility
DOI10.1142/S0219024918500139zbMATH Open1398.91504OpenAlexW2794446925WikidataQ130048468 ScholiaQ130048468MaRDI QIDQ4565071FDOQ4565071
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
Recommendations
cost-efficiencyportfolio theoryexpected utility theoryloss aversionprospect theorystate-dependent utilityoptimal portfolio choice
Cites Work
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- An explicit option-based strategy that outperforms dollar cost averaging
- Simplified hedge for path-dependent derivatives
Cited In (7)
- 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
- Standardized versus customized portfolio: a compensating variation approach
- Optimal portfolio selection based on a path-dependent utility function
- Present value based portfolio choice
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