Additive portfolio improvement and utility-efficient payoffs

被引：3
|
作者：
Kassberger, Stefan [1 ]
Liebmann, Thomas [1 ]
机构：
[1] Frankfurt Sch Finance & Management, Sonnemannstr 9-11, Frankfurt, Germany
来源：
MATHEMATICS AND FINANCIAL ECONOMICS | 2017年 / 11卷 / 02期
关键词：
Payoff improvement; Additive; Conditional expectation; Uniform preferences; Robust savage utility; Statistical arbitrage; INCREASING RISK;
D O I：
10.1007/s11579-016-0179-3
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
How can individual financial contracts be improved in an additive manner, such that any portfolio comprising improved contracts is at least as attractive as the portfolio of original contracts? We show that any additive procedure that improves contracts for all expected utility maximizers is a conditional expectation operator. Improved contracts are also attractive under robust Savage preferences. Furthermore, we generalize Bondarenko's definition of 'statistical arbitrage' and show that the improved contracts do not admit this kind of arbitrage.
引用
收藏
页码：241 / 262
页数：22
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