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Dynamic portfolio selection in a dual expected utility theory framework

Author

Listed:
  • Marisa Cenci
  • Massimiliano Corradini
  • Andrea Gheno

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

  • Marisa Cenci & Massimiliano Corradini & Andrea Gheno, 2005. "Dynamic portfolio selection in a dual expected utility theory framework," Departmental Working Papers of Economics - University 'Roma Tre' 0056, Department of Economics - University Roma Tre.
    • Handle: RePEc:rtr:wpaper:0056
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    File URL: http://host.uniroma3.it/dipartimenti/economia/pdf/wp56.pdf
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    References listed on IDEAS

    as
    1. Wang, Shaun S. & Young, Virginia R., 1998. "Ordering risks: Expected utility theory versus Yaari's dual theory of risk," Insurance: Mathematics and Economics, Elsevier, vol. 22(2), pages 145-161, June.
    2. Hadar, Josef & Seo, Tae Kun, 1995. "Asset diversification in Yaari's dual theory," European Economic Review, Elsevier, vol. 39(6), pages 1171-1180, June.
    3. Daniel Ellsberg, 1961. "Risk, Ambiguity, and the Savage Axioms," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 75(4), pages 643-669.
    4. Wang, Shaun S., 2002. "A Universal Framework for Pricing Financial and Insurance Risks," ASTIN Bulletin, Cambridge University Press, vol. 32(2), pages 213-234, November.
    5. Merton, Robert C, 1969. "Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case," The Review of Economics and Statistics, MIT Press, vol. 51(3), pages 247-257, August.
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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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    More about this item

    Keywords

    Portfolio Selection; Dual Utility Theory; Wang Transform;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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