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Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework
Published online by Cambridge University Press: 17 April 2015
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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- Copyright © ASTIN Bulletin 2006
Footnotes
The authors are from the Department of Economics, Università degli studi Roma Tre, Rome, Italy.
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