Relative Growth Rate Optimization Under Behavioral Criterion

DOI10.1137/22M1496943zbMath1527.91151arXiv2211.05402OpenAlexW4387939783MaRDI QIDQ6091090

Jing Peng, Zuo Quan Xu, Pengyu Wei

Publication date: 23 November 2023

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2211.05402

zbMATH Keywords

prospect theoryportfolio selectionbehavioral financegrowth optimal portfolioquantile optimizationlog-return optimal

Mathematics Subject Classification ID

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

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