在期望效用理論與累積前景理論下最佳投資策略的比較

Abstract

本論文的重點為比較在期望效用理論與累積前景理論下最佳投資策略的差異。而且分成兩個部分來探討─不必考慮手續費的財務市場以及在賣股票後需繳交固定比率手續費的財務市場。我們給一些在一個交易時間的財務模型中關於最佳投資策略以及最佳避險策略結果，並且討論在這兩套不同理論下其結果的差異。

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.