This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering arbitrage-free nancial markets. A pricing formula is obtained for contingent claims written on n underlying assets following general Itô processes and without any...

In this paper the dynamic portfolio selection problem is studied for the first time in a dual utility theory framework. The Wang transform is used as distortion function and well diversified optimal portfolios result both with and without short sales allowed.

This paper investigates the price for contingent claims in a dual expected utility theory framework, the dual price, considering complete arbitrage-free nancial markets. In this framework this dual price is obtained, for the rst time in the literature, without any comonotonicity hypothesis and...