论文标题
根据广义双重选择理论的最佳回报
Optimal Payoff under the Generalized Dual Theory of Choice
论文作者
论文摘要
我们考虑在单周期完整市场中的偏好模型下的投资组合优化。该偏好模型包括Yaari的二重性理论和特殊情况下的分位数最大化。我们表征何时存在最佳解决方案并在其存在时以封闭形式得出最佳解决方案。最佳投资组合的回报是一种数字选择：当市场良好时，它会产生货币货币收益，否则就会产生零收益。当最初的财富增加时，良好的市场情景集保持不变，而这些方案的回报会增加。最后，我们通过以给定的基准回报施加依赖性结构并获得相似的结果来扩展投资组合优化问题。
We consider portfolio optimization under a preference model in a single-period, complete market. This preference model includes Yaari's dual theory of choice and quantile maximization as special cases. We characterize when the optimal solution exists and derive the optimal solution in closed form when it exists. The payoff of the optimal portfolio is a digital option: it yields an in-the-money payoff when the market is good and zero payoff otherwise. When the initial wealth increases, the set of good market scenarios remains unchanged while the payoff in these scenarios increases. Finally, we extend our portfolio optimization problem by imposing a dependence structure with a given benchmark payoff and derive similar results.
