This paper presents a theoretically sound portfolio performance measure that takes into
account higher moments of distribution. This measure is motivated by a study of the investor’s …

In this paper we consider a loss-averse investor equipped with a specific, but still quite
general, utility function motivated by behavioral finance. We show that, under certain concrete …

It is widely accepted that, when return distributions are non-normal, the use of the Sharpe
ratio can lead to misleading conclusions. It is well documented that deviations of hedge fund …

In this paper we provide a systematic treatment of the utility based option pricing and hedging
approach in markets with both fixed and proportional transaction costs: we extend the …

In this paper we consider a decision maker whose utility function has a kink at the reference
point with different functions below and above this reference point. We also suppose that the …

Financial advisors commonly recommend that the investment horizon should be rather long
in order to benefit from the ‘time diversification’. In this case, in order to choose the optimal …

… Zakamouline (Citation2006b) resolves this puzzle and explains in detail why Leland's
modified … hedging strategy, we propose to describe it similarly as in Zakamouline (Citation2006a) …

In finance one often needs to estimate the risk and reward of an asset over a long-run given
a sample of observations over a short-run. Two common obstacles in these estimations are …

In this paper we study the continuous time optimal portfolio selection problem for an investor
with a finite horizon who maximizes expected utility of terminal wealth and faces transaction …

In this paper using the expected utility theory and the approximation analysis we derive a
formula for the most natural extension of the Sharpe ratio which takes into account the …