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)

Abstract: Within the framework of the cumulative prospective theory of Kahneman and Tversky, this paper considers a continuous-time behavioral portfolio selection problem whose model includes both running and terminal terms in the objective functional. Despite the existence of S-shaped utility functions and probability distortions, a necessary condition for optimality is derived. The results are applied to various examples.

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)

Cites Work

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• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

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