Optimal investment with transaction costs under cumulative prospect theory in discrete time

DOI10.1007/s11579-017-0186-zzbMath1411.91534arXiv1511.04768OpenAlexW2174550826MaRDI QIDQ1687370

Bin Zou, Rudi Zagst

Publication date: 29 December 2017

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1511.04768

zbMATH Keywords

transaction costscumulative prospect theoryoptimal investmenteconomic analysisS-shaped utility

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

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OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION

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