发帖
雷达卡
摘要翻译：
本文的目的在于研究行为投资者的最优投资策略，该投资者对风险的偏好由概率失真和S型效用函数描述。在连续时间金融市场框架下，假设资产价格为半鞅模型，在分段幂概率失真和效用函数的情况下，我们得到了优化问题适定性的充要条件。最后，在可直接验证的条件下，我们进一步证明了最优策略的存在性。
---
英文标题：
《Optimal Portfolio Choice for a Behavioural Investor in Continuous-Time
Markets》
---
作者：
Miklos Rasonyi and Andrea M. Rodrigues
---
最新提交年份：
2013
---
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
--
一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
--
---
英文摘要：
The aim of this work consists in the study of the optimal investment strategy for a behavioural investor, whose preference towards risk is described by both a probability distortion and an S-shaped utility function. Within a continuous-time financial market framework and assuming that asset prices are modelled by semimartingales, we derive sufficient and necessary conditions for the well-posedness of the optimisation problem in the case of piecewise-power probability distortion and utility functions. Finally, under straightforwardly verifiable conditions, we further demonstrate the existence of an optimal strategy.
---
PDF链接：
https://arxiv.org/pdf/1202.0628
京公网安备 11010802022788号
