The Optimal Portfolio Selection Model under g -Expectation
Author
Source
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-12, 12 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-03-13
Country of Publication
Egypt
No. of Pages
12
Main Subjects
Abstract EN
This paper solves the optimal portfolio selection model under the framework of the prospect theory proposed by Kahneman and Tversky in the 1970s with decision rule replaced by the g -expectation introduced by Peng.
This model was established in the general continuous time setting and firstly adopted the g -expectation to replace Choquet expectation adopted in the work of Jin and Zhou, 2008.
Using different S-shaped utility functions and g -functions to represent the investors' different uncertainty attitudes towards losses and gains makes the model not only more realistic but also more difficult to deal with.
Although the models are mathematically complicated and sophisticated, the optimal solution turns out to be surprisingly simple, the payoff of a portfolio of two binary claims.
Also I give the economic meaning of my model and the comparison with that one in the work of Jin and Zhou, 2008.
American Psychological Association (APA)
Li, Li. 2014. The Optimal Portfolio Selection Model under g -Expectation. Abstract and Applied Analysis،Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-1013914
Modern Language Association (MLA)
Li, Li. The Optimal Portfolio Selection Model under g -Expectation. Abstract and Applied Analysis No. 2014 (2014), pp.1-12.
https://search.emarefa.net/detail/BIM-1013914
American Medical Association (AMA)
Li, Li. The Optimal Portfolio Selection Model under g -Expectation. Abstract and Applied Analysis. 2014. Vol. 2014, no. 2014, pp.1-12.
https://search.emarefa.net/detail/BIM-1013914
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1013914