完全市场中的Yaari对偶效用最大化问题

Maximizing Yaari’s dual utilities in complete markets

效用最大化问题是经济学和金融学中的最重要和最基本的问题之一．经典的vonNeumann-Morgenstern期望效用模型在实践中都受到诸多挑战．Yaari对偶效用理论是重要的非期望效用模型之一．本文研究完全金融市场中的Yaari对偶效用最大化问题．前人在某种单调性条件下得到了该问题最优解的显式刻画．而在本文中，无需任何单调性条件，我们得到了最优解的显式刻画．

Utility maximization is one of the most important and fundamental questions in economics and finance. The classical model of von Neumann-Morgenstern＇s expected utility is challenged by many facts in applications. Yaari＇s dual utility is one of important models of non-expected utilities. We investigate Yaari＇s dual utility maximization in complete financial markets. In the existing literature, the optimal solution of this question was explicitly characterized and reported under some monotonicity condition. In this paper, the explicit characterization is provided without any monotonicity condition.