Miklós Rásonyi

Rényi Institute

Investment decisions


In mainstream economic theory agents are supposed to maximise the expected utility of the return on their investments under the objective probability measure. Furthermore, they are assumed to be risk-averse (which results in concave optimisation problems).

Real investors are often found to be risk-seeking and they distort the objective probability, creating non-concave optimisation problems involving non-linear expectations which lead to more exciting mathematics as well as to pitfalls. We will present some recent results and open problems.