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Document Details : Title: Dynamic Portfolio Selection in a Dual Expected Utility Theory Framework Author(s): CENCI, Marisa , CORRADINI, Massimiliano , GHENO, Andrea Journal: ASTIN Bulletin Volume: 36 Issue: 2 Date: 2006 Pages: 505-520 DOI: 10.2143/AST.36.2.2017932 Abstract : In this paper the dynamic portfolio selection problem is studied for the first time in a dual utility theory framework. The Wang transform is used as distortion function and well diversified optimal portfolios result both with and without short sales allowed. |
