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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.

3.236.232.99.