英文标题：
《Optimal investment under behavioural criteria -- a dual approach》
---
作者：
Mikl\\\'os R\\\'asonyi and Jos\\\'e G. Rodr\\\'iguez-Villarreal
---
最新提交年份：
2014
---
英文摘要：
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 a previous paper 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 which were shown to be necessary and sufficient in the Black-Scholes model. 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.
---
中文摘要：
我们考虑一个离散时间的、一般不完全的市场模型和一个具有类似幂函数的效用和扭曲函数的行为投资者。以前的一篇论文已经证明了在这种情况下，在某些条件下，这些幂函数的参数存在最优策略。在本文中，我们证明了在不同的参数条件下最优策略的存在性，这与Black-Scholes模型中证明的必要和充分的条件相同。虽然在行为标准下不存在优化的自然对偶问题（由于缺乏凹性），但我们将依赖基于可达到的未定权益和等价鞅测度之间通常的对偶性的技术。
---
分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
--

---
PDF下载：
-->