Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/22110
Authors: 
Kozhan, Roman
Year of Publication: 
2006
Series/Report no.: 
The Postgraduate Research Programme working paper series / Europa-Universität Viadrina Frankfurt (Oder), Graduiertenkolleg "Kapitalmärkte und Finanzwirtschaft im erweiterten Europa" 2006,4
Abstract: 
We study single period asset allocation problems of the investor who maximizes the expected utility with respect to non-additive beliefs. The non-additive beliefs of the investor model the presence of an uncertainty and they are assumed to be consistent with the Maxmin expected utility theory of Gilboa and Schmeidler (1989). The proportional transaction costs are incorporated into the model. We provide the explicit form solutions for the bounds of no-transaction regions which completely determine the optimal policy of the investor.
Subjects: 
uncertainty modelling
utility theory
maxmin portfolio selection
transaction costs
JEL: 
G11
C61
C44
Document Type: 
Working Paper

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