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Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework

Published online by Cambridge University Press:  17 April 2015

Marisa Cenci ,
Massimiliano Corradini  and
Andrea Gheno
Andrea Gheno
Affiliation:
Università degli studi Roma Tre, Dipartimento di Economia, Via Silvio D’Amico 111, 00145, Roma, Italy, E-mail: gheno@uniroma3.it
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Abstract

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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

Dynamic Portfolio SelectionDual Utility TheoryMerton ProblemWang Transform
Type
Articles
Information
ASTIN Bulletin: The Journal of the IAA , Volume 36 , Issue 2 , November 2006 , pp. 505 - 520
Copyright
Copyright © ASTIN Bulletin 2006

Footnotes

*

The authors are from the Department of Economics, Università degli studi Roma Tre, Rome, Italy.

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