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Towards the determination of utility preference from optimal portfolio selections

Author

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  • Colin Atkinson
  • Sutee Mokkhavesa

Abstract

The problem of determining specific utility preference from observed optimal resource allocation procedures is considered. In special cases this is solved completely. Partial solutions and their limitations in this process are also discussed.

Suggested Citation

  • Colin Atkinson & Sutee Mokkhavesa, 2001. "Towards the determination of utility preference from optimal portfolio selections," Applied Mathematical Finance, Taylor & Francis Journals, vol. 8(1), pages 1-26.
    • Handle: RePEc:taf:apmtfi:v:8:y:2001:i:1:p:1-26
    DOI: 10.1080/13504860110039801
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    References listed on IDEAS

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    1. M. H. A. Davis & A. R. Norman, 1990. "Portfolio Selection with Transaction Costs," Mathematics of Operations Research, INFORMS, vol. 15(4), pages 676-713, November.
    2. C. Atkinson & P. Wilmott, 1995. "Portfolio Management With Transaction Costs: An Asymptotic Analysis Of The Morton And Pliska Model," Mathematical Finance, Wiley Blackwell, vol. 5(4), pages 357-367, October.
    3. Hirsa, Ali & Neftci, Salih N., 2013. "An Introduction to the Mathematics of Financial Derivatives," Elsevier Monographs, Elsevier, edition 3, number 9780123846822.
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    Citations

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    Cited by:

    1. Siu Lung Law & Chiu Fan Lee & Sam Howison & Jeff N. Dewynne, 2007. "Correlated multi-asset portfolio optimisation with transaction cost," Papers 0705.1949, arXiv.org, revised May 2009.

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