英文标题：
《Optimal Payoffs under State-dependent Preferences》
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作者：
Carole Bernard, Franck Moraux, Ludger Rueschendorf, Steven Vanduffel
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最新提交年份：
2014
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英文摘要：
  Most decision theories, including expected utility theory, rank dependent utility theory and cumulative prospect theory, assume that investors are only interested in the distribution of returns and not in the states of the economy in which income is received. Optimal payoffs have their lowest outcomes when the economy is in a downturn, and this feature is often at odds with the needs of many investors. We introduce a framework for portfolio selection within which state-dependent preferences can be accommodated. Specifically, we assume that investors care about the distribution of final wealth and its interaction with some benchmark. In this context, we are able to characterize optimal payoffs in explicit form. Furthermore, we extend the classical expected utility optimization problem of Merton to the state-dependent situation. Some applications in security design are discussed in detail and we also solve some stochastic extensions of the target probability optimization problem.
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中文摘要：
大多数决策理论，包括预期效用理论、秩相关效用理论和累积前景理论，都假设投资者只对收益的分布感兴趣，而不关心获得收入的经济状态。当经济低迷时，最优回报的结果最低，这一特点往往与许多投资者的需求不符。我们引入了一个投资组合选择框架，在这个框架内，可以适应依赖于状态的偏好。具体来说，我们假设投资者关心最终财富的分配及其与某些基准的相互作用。在这种情况下，我们能够以明确的形式描述最优报酬。此外，我们将经典的默顿期望效用优化问题推广到状态相关的情形。详细讨论了在安全设计中的一些应用，并解决了目标概率优化问题的一些随机扩展。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance        数量金融学
二级分类：Pricing of Securities        证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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