The Investment Strategy under Payoff Constraints
Tang Yi-feng · Shuxue de shijian yu renshi · 2004
According to the theories of Markowitz′s investment portfolio and traditional expected utility,all rational investors with the same utility function will adopt the same optimal investment strategy. But in real world,different investors take different investment strategies, who can be regarded as irrational investors based on the conventional theories. By introducing constraint of targeted payoff for each individual investor,such ″irrational″ choice becomes rational.