Stochastic maximum principle under probability distortion (Q2041031)

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scientific article; zbMATH DE number 7371840
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English
Stochastic maximum principle under probability distortion
scientific article; zbMATH DE number 7371840

    Statements

    title
    Stochastic maximum principle under probability distortion (English)
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    author
    Yanyan Li
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    publication date
    15 July 2021
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    zbMATH Keywords
    cumulative prospective theory
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    \(S\)-shaped utility function
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    probability distortion
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    stochastic maximum principle
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    behavioral portfolio optimization
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    Identifiers

    zbMATH Open document ID
    1468.91140
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    1468.91141
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    Mathematics Subject Classification ID
    91G10
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    91B16
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    93E20
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    zbMATH DE Number
    7371835
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    7371840
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    OpenAlex ID
    W2981531118
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    W2765132055
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    arXiv ID
    1710.11432
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    Wikidata QID
    Q126862484
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