Optimal payoff under the generalized dual theory of choice
| Autor: | Zhao Li Jiang, Xue Dong He |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Computer Science::Computer Science and Game Theory
Mathematical optimization 021103 operations research Complete market Applied Mathematics Decision theory Stochastic game 0211 other engineering and technologies 02 engineering and technology Maximization Management Science and Operations Research 01 natural sciences Industrial and Manufacturing Engineering Dual (category theory) 010104 statistics & probability Portfolio 0101 mathematics Portfolio optimization Preference (economics) Software Mathematics |
| Zdroj: | Operations Research Letters. 49:372-376 |
| ISSN: | 0167-6377 |
| Popis: | We consider portfolio optimization under a preference model in a single-period, complete market. This preference model includes Yaari’s dual theory of choice and quantile maximization as special cases. We characterize when the optimal solution exists and derive the optimal solution in closed form when it exists. The optimal portfolio yields an in-the-money payoff when the market is good and zero payoff otherwise. Finally, we extend our portfolio optimization problem by imposing a dependence structure with a given benchmark payoff. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|
Full Text from ScienceDirect