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Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework

Published online by Cambridge University Press:  17 April 2015

Andrea Gheno
Affiliation:
Università degli studi Roma Tre, Dipartimento di Economia, Via Silvio D’Amico 111, 00145, Roma, Italy, E-mail: [email protected]
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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.

Type
Articles
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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