Optimal financial investments for non-concave utility functions
AbstractWe prove a formula for the computation of optimal financial investments in an expected utility framework with arbitrary (not necessarily concave) utility functions. This extends classical results on optimal financial investments for strictly concave utility functions and is of importance particularly for applications of prospect theory where the utility function has a convex–concave shape.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 114 (2012)
Issue (Month): 3 ()
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Web page: http://www.elsevier.com/locate/ecolet
Optimal investments; Non-concave utility function; Prospect theory;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D03 - Microeconomics - - General - - - Behavioral Microeconomics; Underlying Principles
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