Multi-stock portfolio optimization under prospect theory (Q1938996)

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Multi-stock portfolio optimization under prospect theory
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    title
    Multi-stock portfolio optimization under prospect theory (English)
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    author
    Traian A. Pirvu
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    Klaas Schulze
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    publication date
    26 February 2013
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    Mathematics Subject Classification ID
    91G10
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    91G80
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    90C90
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    zbMATH DE Number
    6139076
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    zbMATH Keywords
    portfolio allocation
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    prospect theory
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    two-fund separation
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    elliptical distributions
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