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Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework

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  • Cenci, Marisa
  • Corradini, Massimiliano
  • Gheno, Andrea

Abstract

In this paper the dynamic portfolio selection problem is studied for the first time in a dual utility theory framework. The Wang transform is used as distortion function and well diversified optimal portfolios result both with and without short sales allowed.

Suggested Citation

  • Cenci, Marisa & Corradini, Massimiliano & Gheno, Andrea, 2006. "Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework," ASTIN Bulletin, Cambridge University Press, vol. 36(2), pages 505-520, November.
    • Handle: RePEc:cup:astinb:v:36:y:2006:i:02:p:505-520_01
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    Cited by:

    1. Massimiliano Corradini & Andrea Gheno, 2007. "Contingent Claim Pricing In A Dual Expected Utility Theory Framework," Departmental Working Papers of Economics - University 'Roma Tre' 0082, Department of Economics - University Roma Tre.
    2. Corradini, M. & Gheno, A., 2009. "Incomplete financial markets and contingent claim pricing in a dual expected utility theory framework," Insurance: Mathematics and Economics, Elsevier, vol. 45(2), pages 180-187, October.

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