Optimal investment under behavioural criteria - a dual approach

• Autorzy: Miklós Rásonyi , José G. Rodríguez-Villarreal
• Języki publikacji: EN

Abstrakty

EN

We consider a discrete-time, generically incomplete market model and a behavioural investor with power-like utility and distortion functions. The existence of optimal strategies in this setting has been shown in Carassus-Rásonyi (2015) under certain conditions on the parameters of these power functions.
In the present paper we prove the existence of optimal strategies under a different set of conditions on the parameters, identical to the ones in Rásonyi-Rodrigues (2013), which were shown to be necessary and sufficient in the Black-Scholes model. We also relax some assumptions of Carassus-Rásonyi (2015).
Although there exists no natural dual problem for optimisation under behavioural criteria (due to the lack of concavity), we will rely on techniques based on the usual duality between attainable contingent claims and equivalent martingale measures.

Kategorie tematyczne

• 91G10: Portfolio theory
• 91B16: Utility theory

• Wydawca: Institute of Mathematics Polish Academy of Sciences
• Czasopismo: Banach Center Publications
• Rocznik: 2015
• Tom: 104
• Numer: 1
• Strony: 167-180

Daty

wydano

2015

Twórcy

autor

Miklós Rásonyi

• MTA Alfréd Rényi Institute of Mathematics, Budapest
• University of Edinburgh

autor

José G. Rodríguez-Villarreal

• University of Edinburgh

Identyfikatory

DOI

10.4064/bc104-0-9