Risk-constrained portfolio choice under rank-dependent utility

被引:0
作者
Ghossoub, Mario [1 ]
Zhu, Michael Boyuan [1 ]
机构
[1] Univ Waterloo, Dept Stat & Actuarial Sci, 200 Univ Ave West, Waterloo, ON N2L 3G1, Canada
关键词
Portfolio choice; Rank-dependent utility; Quantile formulation; Choquet integral; Distortion risk measures; C61; D89; D90; G11; G40; PROSPECT-THEORY; EXPECTED UTILITY; ASSET PRICES; SELECTION; OPTIMIZATION; CONSUMPTION; MAXIMIZATION; MANAGEMENT; BEHAVIOR; POLICIES;
D O I
10.1007/s00780-024-00555-z
中图分类号
F8 [财政、金融];
学科分类号
0202 ;
摘要
We revisit the problem of portfolio choice for a rank-dependent utility maximiser in an arbitrage-free and complete market, subject to a budget constraint and a risk exposure constraint. We extend previous results in the literature by considering a general distortion risk measure for measuring risk exposure, which covers a wide range of popular risk measures such as value-at-risk, expected shortfall, spectral risk measures, etc. We first show that a solution exists for the portfolio selection problem with multiple constraints under general conditions. We provide a closed-form characterisation of optimal portfolios, all the while dispensing with extraneous monotonicity assumptions typically used in the literature. We then consider some important and economically relevant special cases of our general setup and provide illustrative numerical examples.
引用
收藏
页码:399 / 442
页数:44
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