Dynamic portfolio selection in a dual expected utility theory framework

Marisa Cenci (), Massimiliano Corradini () and Andrea Gheno

No 56, Departmental Working Papers of Economics - University 'Roma Tre' from Department of Economics - University Roma Tre

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.

Keywords: Portfolio Selection; Dual Utility Theory; Wang Transform (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Pages: 20
Date: 2005-12
New Economics Papers: this item is included in nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (2)

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