H. Laniado, R. E. Lillo, F. Pellerey, J. Romo
A typical problem in portfolio theory is the determination of the portfolio weights that maximize an expected utility. In 1971 Hadar and Russel proved that if the risky assets are i.i.d , the maximal diversification gives the maximal expected utility . The result was generalized by Ma (2000) replacing the assumption of independence with the assumption exchangeability. We study the case in which an agent has to allocate his capital in different but not independent risky assets and we find an optimal solution based on rotations of the risky assets (random variables) such that the maximal diversification in the rotated vector gives the maximal expected utility.
Palabras clave: portfolio selection, expected utility
Programado
JC7 Procesos estocásticos 2
19 de abril de 2012 12:00
Sala Roma II
