文章基本信息

标题：Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains
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作者：Rásonyi, Miklós ; Meireles Rodrigues, Andrea Sofia
期刊名称：Electronic Communications in Probability
印刷版ISSN：1083-589X
出版年度：2014
卷号：19
页码：1-13
DOI：10.1214/ECP.v19-2990
语种：English
出版社：Electronic Communications in Probability
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 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.
关键词：Behavioural finance ; Bounded utility ; Choquet integral ; Continuous-time models ; Market completeness ; Non-concave utility ; Optimal portfolio ; Probability distortion.;Primary 91G10, Secondary 49J55 ; 60H30 ; 93E20.