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英文标题：
《Continuous-Time Portfolio Optimisation for a Behavioural Investor with
Bounded Utility on Gains》
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作者：
Mikl\\\'os R\\\'asonyi and Andrea Meireles Rodrigues
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最新提交年份：
2014
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英文摘要：
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 problem is trivial, and a necessary condition for the existence of an optimal trading strategy is 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.
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中文摘要：
本文研究了连续时间（本质上）完全金融市场中的一个最优投资问题。我们与一位投资者打交道，这位投资者的行为与累积前景理论的原则一致，其收益效用函数的上限在上。优化问题的适定性是微不足道的，并且导出了最优交易策略存在的一个必要条件。这一条件要求投资者的损失概率失真函数不会比效用函数确定的给定速率快0到0。在其他假设下，我们证明了这个条件确实是可达到性的边界，在这个意义上，对于畸变函数的较慢收敛，确实存在一个最优投资组合。
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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
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