Comparison of Optimization in the Sense of Expected Utility Theory and Cumulative Prospect Theory

碩士 === 國立交通大學 === 應用數學系所 === 97 === In this thesis, our main point is that compare the optimal strategy in the sense of expected utility theory and cumulative prospect theory. Moreover, we suppose that there exist two kind of market model: A model without transaction cost and a model with transactio...

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Main Authors:	Hsieh, Meng-Chen, 謝孟蓁
Other Authors:	Wu, Ching-Tang
Format:	Others
Language:	en_US
Published:	2009
Online Access:	http://ndltd.ncl.edu.tw/handle/15171369727503523839

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spelling	ndltd-TW-097NCTU55070222015-10-13T15:42:31Z http://ndltd.ncl.edu.tw/handle/15171369727503523839 Comparison of Optimization in the Sense of Expected Utility Theory and Cumulative Prospect Theory 在期望效用理論與累積前景理論下最佳投資策略的比較 Hsieh, Meng-Chen 謝孟蓁碩士國立交通大學應用數學系所 97 In this thesis, our main point is that compare the optimal strategy in the sense of expected utility theory and cumulative prospect theory. Moreover, we suppose that there exist two kind of market model: A model without transaction cost and a model with transaction cost. We give some results about optimal trading strategy and optimal hedging strategy in one period market model. And we discuss the difference of the results in these two senses. Wu, Ching-Tang 吳慶堂 2009 學位論文 ; thesis 61 en_US
collection	NDLTD
language	en_US
format	Others
sources	NDLTD
description	碩士 === 國立交通大學 === 應用數學系所 === 97 === In this thesis, our main point is that compare the optimal strategy in the sense of expected utility theory and cumulative prospect theory. Moreover, we suppose that there exist two kind of market model: A model without transaction cost and a model with transaction cost. We give some results about optimal trading strategy and optimal hedging strategy in one period market model. And we discuss the difference of the results in these two senses.
author2	Wu, Ching-Tang
author_facet	Wu, Ching-Tang Hsieh, Meng-Chen 謝孟蓁
author	Hsieh, Meng-Chen 謝孟蓁
spellingShingle	Hsieh, Meng-Chen 謝孟蓁 Comparison of Optimization in the Sense of Expected Utility Theory and Cumulative Prospect Theory
author_sort	Hsieh, Meng-Chen
title	Comparison of Optimization in the Sense of Expected Utility Theory and Cumulative Prospect Theory
title_short	Comparison of Optimization in the Sense of Expected Utility Theory and Cumulative Prospect Theory
title_full	Comparison of Optimization in the Sense of Expected Utility Theory and Cumulative Prospect Theory
title_fullStr	Comparison of Optimization in the Sense of Expected Utility Theory and Cumulative Prospect Theory
title_full_unstemmed	Comparison of Optimization in the Sense of Expected Utility Theory and Cumulative Prospect Theory
title_sort	comparison of optimization in the sense of expected utility theory and cumulative prospect theory
publishDate	2009
url	http://ndltd.ncl.edu.tw/handle/15171369727503523839
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Comparison of Optimization in the Sense of Expected Utility Theory and Cumulative Prospect Theory

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