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Dynamic portfolio selection in a dual expected utility theory framework

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  • Marisa Cenci

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  • 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.

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Bibliographic Info

Paper provided by Department of Economics - University Roma Tre in its series Departmental Working Papers of Economics - University 'Roma Tre' with number 0056.

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Length: 20
Date of creation: Dec 2005
Date of revision:
Handle: RePEc:rtr:wpaper:0056

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Keywords: Portfolio Selection; Dual Utility Theory; Wang Transform;

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  1. Hadar, Josef & Seo, Tae Kun, 1995. "Asset diversification in Yaari's dual theory," European Economic Review, Elsevier, vol. 39(6), pages 1171-1180, June.
  2. 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 247-57, 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.

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