Publication:2041031

DOI10.1007/s00245-019-09621-xzbMath1468.91140arXiv1710.11432OpenAlexW2981531118WikidataQ126862484 ScholiaQ126862484MaRDI QIDQ2041031

Yanyan Li

Publication date: 15 July 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.11432

zbMATH Keywords

stochastic maximum principleprobability distortionbehavioral portfolio optimization\(S\)-shaped utility functioncumulative prospective theory

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (2)

Behavioral mean-risk portfolio selection in continuous time via quantile ⋮ Correction to: ``Stochastic maximum principle under probability distortion

Cites Work

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• Stochastic Differential Utility
• Prospect Theory: An Analysis of Decision under Risk
• The Dual Theory of Choice under Risk
• Myopic Loss Aversion and the Equity Premium Puzzle
• GREED, LEVERAGE, AND POTENTIAL LOSSES: A PROSPECT THEORY PERSPECTIVE
• Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

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