Rassal risk tercihleri ile portföy seçimi

In this thesis, we analyze a single-period portfolio selection problem where the investormaximizes the expected utility of the terminal wealth. The utility function is exponential,but the Pratt-Arrow measure of absolute risk aversion or risk tolerance is random. Thisis due to the random variations in individual's decisions concerning stochastic choice. It iswell-known that the investor is memoryless in wealth for exponential utility functions witha constant risk tolerance. In other words, the investment portfolio consisting of risky stocksdoes not depend on the level of wealth. However, we show that this is no longer true if risktolerance is random. We obtain a number of interesting characterizations on the structureof the optimal policy.In the rst part of the thesis, we analyzed the characteristics of the optimal policy whenthe return of the risky asset has an arbitrary distribution. We considered the single assetcase and showed that the decision on buying or short selling the risky asset depends on thesign of the mean excess return. We also showed that the optimal decision is bounded, andit increases in wealth when mean excess return is positive and decreases otherwise.In the second part of the thesis, we analyzed a specic case where the distributions of thereturns of the risky assets are normal. Normal and multivariate normal cases are discussedseparately. We proved that in this setting, the multivariate case can be reduced to thesingle asset case. Moreover, the decision on buying or short selling the assets depends onthe \adjusted mean excess return".In the last part, we considered some of the other results that we have found during theresearch. For the exponential distribution case, we used a direct approach to obtain thesimilar results we found in the general distribution case. We nally extended the exponentialutility functions to arbitrary concave utility functions and obtained some characterizationson the optimal policy.