Portfolio Theory for the Optimized-Certainty-Equivalent Maximizing Investor.

Abstract

The portfolio selection problem with one safe asset and risky assets is analyzed via a new decision theoretic criterion: the Optimized Certainty Equivalent(OCE), recently introduced by the authors. Fundamental results in portfolio theory, previously studied under the Expected Utility criterion (EU), such as separation Theorems, comparative statistics analysis, and threshold values for inclusion or exclusion of risky assets in the optimal portfolio, are obtained here. In contrast to the EU model, our results for the OCE maximizing investor do not impose restrictions on either the utility function or the underlying probability laws. We also derive a dual portfolio selection problem and provide it with economic interpretation.

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Document Details

Document Type
Technical Report
Publication Date
May 01, 1987
Accession Number
ADA186024

Entities

People

  • A. Ben-tal
  • Marc Teboulle

Organizations

  • University of Texas at Austin

Tags

Communities of Interest

  • Human Systems

DTIC Thesaurus Topics

  • Analysis Of Variance
  • Business Administration
  • Computing-Related Activities
  • Concrete
  • Data Science
  • Economic Models
  • Inequalities
  • Information Science
  • Interdisciplinary Science
  • Investments
  • Probability
  • Probability Distributions
  • Random Variables
  • Statistics
  • United States
  • United States Government
  • Universities

Fields of Study

  • Economics

Readers

  • Adaptive Control and Estimation with Uncertainty in Dynamic Systems.
  • Calculus or Mathematical Analysis
  • Economics