Asset allocation with distorted beliefs and transaction costs

DOI10.1016/J.EJOR.2007.12.002zbMATH Open1158.91382OpenAlexW2077345148MaRDI QIDQ953450FDOQ953450

Authors: Roman Kozhan, Wolfgang Schmid 

Publication date: 20 November 2008

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2007.12.002

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zbMATH Keywords

asset allocationKnightian uncertaintytransaction costsdistortion function

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic programming (90C15)

Cites Work

• Decision-Making in a Fuzzy Environment
• The Dual Theory of Choice under Risk
• Default reasoning and possibility theory
• Maxmin expected utility with non-unique prior
• Non-additive measure and integral
• Core of convex distortions of a probability.
• Risk, ambiguity and the Savage axioms
• Subjective Probability and Expected Utility without Additivity
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Title not available (Why is that?)
• Portfolio Selection with Transaction Costs
• Recent developments in modeling preferences: Uncertainty and ambiguity
• Axiomatic characterization of insurance prices
• Theory of capacities
• Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
• Multiperiod Consumption and Investment Behavior with Convex Transactions Costs
• Investment Strategies under Transaction Costs: The Finite Horizon Case
• A Simple Axiomatization of Nonadditive Expected Utility
• Portfolio rebalancing model with transaction costs based on fuzzy decision theory
• Contingent claim pricing using probability distortion operators: methods from insurance risk pricing and their relationship to financial theory
• A Dynamic Investment Model with Control on the Portfolio's Worst Case Outcome
• Optimal Portfolio Selection with Transaction Costs

Cited In (7)

• Portfolio optimization with transaction costs: a two-period mean-variance model
• Ambiguity premium and transaction costs
• Expected value multiobjective portfolio rebalancing model with fuzzy parameters
• A multiobjective portfolio rebalancing model incorporating transaction costs based on incremental discounts
• Diversified portfolios with different entropy measures
• Portfolio rebalancing model using multiple criteria
• Multi-polar Choquet integral

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