OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY

被引：2
|
作者：
Bernard, Carole [1 ,2 ]
Vanduffel, Steven [2 ]
Ye, Jiang [2 ]
机构：
[1] Grenoble Ecole Management, Dept Accounting Law & Finance, 12 Rue Pierre Semart, F-38000 Grenoble, France
[2] Vrije Univ Brussel, Dept Econ & Polit Sci, Pl Laan 2, B-1050 Brussels, Belgium
来源：
INTERNATIONAL JOURNAL OF THEORETICAL AND APPLIED FINANCE | 2018年 / 21卷 / 03期
关键词：
Optimal portfolio choice; state-dependent utility; cost-efficiency; portfolio theory; expected utility theory; loss aversion; prospect theory;
D O I：
10.1142/S0219024918500139
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
We derive the optimal portfolio for an expected utility maximizer whose utility does not only depend on terminal wealth but also on some random benchmark (state-dependent utility). We then apply this result to obtain the optimal portfolio of a loss-averse investor with a random reference point (extending a result of Berkelaar et al. (2004) Optimal portfolio choice under loss aversion, The Review of Economics and Statistics 86 (4), 973-987). Clearly, the optimal portfolio has some joint distribution with the benchmark and we show that it is the cheapest possible in having this distribution. This characterization result allows us to infer the state-dependent utility function that explains the demand for a given (joint) distribution.
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页数：22
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