Dynamic portfolio allocation, the dual theory of choice and probability distortion functions

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dc.contributor.author Hamada, M
dc.contributor.author Sherris, M
dc.contributor.author Van Der Hoek, J
dc.date.accessioned 2010-05-14T07:42:40Z
dc.date.created 2010-05-14T07:42:40Z en_US
dc.date.issued 2006-01
dc.identifier.citation Astin Bulletin, 2006, 36 (1), pp. 187 - 217
dc.identifier.issn 0515-0361
dc.identifier.other C1 en_US
dc.identifier.uri http://hdl.handle.net/10453/6072
dc.description.abstract Standard optimal portfolio choice models assume that investors maximise the expected utility of their future outcomes. However, behaviour which is inconsistent with the expected utility theory has often been observed. In a discrete time setting, we provi
dc.publisher Peeters
dc.relation.isbasedon 10.2143/AST.36.1.2014149
dc.title Dynamic portfolio allocation, the dual theory of choice and probability distortion functions
dc.type Journal Article
dc.parent Astin Bulletin
dc.journal.volume 1
dc.journal.volume 36
dc.journal.number 1 en_US
dc.publocation Leuven, Belgium en_US
dc.identifier.startpage 187 en_US
dc.identifier.endpage 217 en_US
dc.cauo.name BUS.School of Finance and Economics en_US
dc.conference Verified OK en_US
dc.for 0102 Applied Mathematics
dc.for 1502 Banking, Finance and Investment
dc.personcode 034592
dc.percentage 50 en_US
dc.classification.name Banking, Finance and Investment en_US
dc.classification.type FOR-08 en_US
dc.description.keywords portfolio allocation; dual theory; probability distortion; equilibrium pricing en_US
dc.description.keywords portfolio allocation
dc.description.keywords dual theory
dc.description.keywords probability distortion
dc.description.keywords equilibrium pricing
pubs.embargo.period Not known
pubs.organisational-group /University of Technology Sydney
pubs.organisational-group /University of Technology Sydney/Faculty of Business
utslib.copyright.status Open Access
utslib.copyright.date 2015-04-15 12:23:47.074767+10
utslib.collection.history General (ID: 2)


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