This paper studies the optimal portfolio allocation of a fund manager when he bases decisions on both the absolute level of terminal relative performance and the change value of terminal relative performance compariso...This paper studies the optimal portfolio allocation of a fund manager when he bases decisions on both the absolute level of terminal relative performance and the change value of terminal relative performance comparison to a predefined reference point. We find the optimal investment strategy by maximizing a weighted average utility of a concave utility and an Sshaped utility via a concavification technique and the martingale method. Numerical results are carried out to show the impact of the extent to which the manager pays attention to the change of relative performance related to the reference point on the optimal terminal relative performance.展开更多
In order to get the price of a contingent claim with random interval payoff, a concept of fair price was proposed based on weighted expected utility maximization. After setting up a programming model of maximizing the...In order to get the price of a contingent claim with random interval payoff, a concept of fair price was proposed based on weighted expected utility maximization. After setting up a programming model of maximizing the weighted expected utility involving basic securities and contingent claim,and using techniques in optimization analysis,explicit expressions of the fair price interval for a contingent claim were derived. Relations between acceptable price interval and fair price interval were discussed. It is shown that all fair prices fit the demand for acceptability of a market.展开更多
基金Supported by the National Natural Science Foundation of China(12071335)the Humanities and Social Science Research Projects in Ministry of Education(20YJAZH025).
文摘This paper studies the optimal portfolio allocation of a fund manager when he bases decisions on both the absolute level of terminal relative performance and the change value of terminal relative performance comparison to a predefined reference point. We find the optimal investment strategy by maximizing a weighted average utility of a concave utility and an Sshaped utility via a concavification technique and the martingale method. Numerical results are carried out to show the impact of the extent to which the manager pays attention to the change of relative performance related to the reference point on the optimal terminal relative performance.
文摘In order to get the price of a contingent claim with random interval payoff, a concept of fair price was proposed based on weighted expected utility maximization. After setting up a programming model of maximizing the weighted expected utility involving basic securities and contingent claim,and using techniques in optimization analysis,explicit expressions of the fair price interval for a contingent claim were derived. Relations between acceptable price interval and fair price interval were discussed. It is shown that all fair prices fit the demand for acceptability of a market.
