Indexing metadata

Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains


 
Dublin Core PKP Metadata Items Metadata for this Document
 
1. Title Title of document Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains
 
2. Creator Author's name, affiliation, country Miklós Rásonyi; Alfréd Rényi Institute of Mathematics and University of Edinburgh; Hungary
 
2. Creator Author's name, affiliation, country Andrea Sofia Meireles Rodrigues; University of Edinburgh; United Kingdom
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Behavioural finance ; Bounded utility ; Choquet integral ; Continuous-time models ; Market completeness ; Non-concave utility ; Optimal portfolio ; Probability distortion.
 
3. Subject Subject classification Primary 91G10, Secondary 49J55 ; 60H30 ; 93E20.
 
4. Description Abstract This paper examines an optimal investment problem in a continuous-time (essentially) complete financial market with a finite horizon. We deal with an investor who behaves consistently with principles of Cumulative Prospect Theory, and whose utility function on gains is bounded above. The well-posedness of the optimisation problemis trivial, and a necessary condition for the existence of an optimal trading strategyis derived. This condition requires that the investor’s probability distortion function on losses does not tend to 0 near 0 faster than a given rate, which is determined by the utility function. Under additional assumptions, we show that this condition is indeed the borderline for attainability, in the sense that for slower convergence of the distortion function there does exist an optimal portfolio.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) FCT - Fundação para a Ciência e Tecnologia (Portuguese Foundation for Science and Technology)
 
7. Date (YYYY-MM-DD) 2014-06-23
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ecp.ejpecp.org/article/view/2990
 
10. Identifier Digital Object Identifier 10.1214/ECP.v19-2990
 
11. Source Journal/conference title; vol., no. (year) Electronic Communications in Probability; Vol 19
 
12. Language English=en en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
15. Rights Copyright and permissions The Electronic Journal of Probability applies the Creative Commons Attribution License (CCAL) to all articles we publish in this journal. Under the CCAL, authors retain ownership of the copyright for their article, but authors allow anyone to download, reuse, reprint, modify, distribute, and/or copy articles published in EJP, so long as the original authors and source are credited. This broad license was developed to facilitate open access to, and free use of, original works of all types. Applying this standard license to your work will ensure your right to make your work freely and openly available.

Summary of the Creative Commons Attribution License

You are free
  • to copy, distribute, display, and perform the work
  • to make derivative works
  • to make commercial use of the work
under the following condition of Attribution: others must attribute the work if displayed on the web or stored in any electronic archive by making a link back to the website of EJP via its Digital Object Identifier (DOI), or if published in other media by acknowledging prior publication in this Journal with a precise citation including the DOI. For any further reuse or distribution, the same terms apply. Any of these conditions can be waived by permission of the Corresponding Author.