Seminar series
Date
Thu, 30 Oct 2008
Time
13:00 -
14:00
Location
DH 1st floor SR
Speaker
Xunyu Zhou
Organisation
Oxford
A new portfolio choice model in continuous time is formulated and solved, where the quantile function of the terminal cash flow, instead of the cash flow itself, is taken as the decision variable. This formulation covers and leads to solutions to many existing and new models including expected utility maximisation, mean-variance, goal reaching, VaR and CVaR, Yaari's dual model, Lopes' SP/A model, and behavioural model under prospect theory.