Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework

Marisa Cenci, Massimiliano Corradini and Andrea Gheno

ASTIN Bulletin, 2006, vol. 36, issue 2, 505-520

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.

Date: 2006
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