The optimal payoff for a Yaari investor
研究了Yaari投资者在风险下的最优收益选择，推导了方差约束下的最优收益，将均值-方差优化扩展到扭曲期望-方差优化，并分析了超越外部基准时的最优收益。
Yaari's dual theory of choice under risk is the natural counterpart of expected utility theory. While optimal payoff choice for an expected utility maximizer is well studied in the literature, less is known about the optimal payoff for a Yaari investor. We perform a fairly general analysis and derive optimal payoffs in a variety of relevant cases. As a main contribution, we provide the optimal payoff for a Yaari investor under a variance constraint; thus, extending mean–variance optimization to distorted expectation–variance optimization. We also derive the optimal payoff for an investor who aims to outperform an external benchmark under the requirement that the payoff stays in the neighbourhood of this benchmark.