Utility Maximisation: Non-Concave Utility and Non-Linear Expectation
作者： Ho Loon Alan Cheung
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摘要: Since the birth of mathematical nance, portfolio selection has been one topics which have attracted a lot interest, with models formulated in discrete and continuous time developed complete incomplete markets. In conventional or neoclassical finance, many are based off assumption that agents make decisions by maximising their expected utility. Deviations between market observations generated recent field study, behavioural incorporates psychology, sociology finance together to resolve observed phenomenon like bubbles cannot explain. this thesis, we will be restricting ourselves look at new formulation utility maximisation elements incorporated into it, namely S-shaped utilities probability distortions. We consider three general cases maximisation: from terminal wealth, consumption wealth consumption. shall review problems then explore installed. Key Words: Portfolio Selection, time, martingale approach, Sshaped function, distortion, cumulative prospect theory
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