Behavioral portfolio selection: asymptotics and stability along a sequence of models
The paper studies behavioral portfolio choice and its stability relatively to the market model. The behavioral nature of choice is captured by the objective functional which consists of the integral of a non-concave utility function when probability is distorted by a weighting function \(w\). The idea of a weighting scheme is inspired by prospect theory of \textit{D. Kahneman} and \textit{A. Tversky} [Econometrica 47, 263--291 (1979; Zbl 0411.90012)]. Maximization is achieved in the respect of an expected value constraint, as in a model with complete financial markets. The model uncertainty is modeled as a sequence of probability spaces and of risk-neutral measures which are assumed to converge to a limit probability space and risk-neutral probability, respectively. The author then proves that the value function along such sequence converges to the limit value function and that the sequence of optimal controls admits a subsequence which converges weakly to some control which is optimal for the limit problem.
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- Behavioral investors in conic market models
- Optimal portfolio choice for a behavioural investor in continuous-time markets
- Behavioral portfolio choice under hyperbolic absolute risk aversion
- Discrete-time behavioral portfolio selection under cumulative prospect theory
- Advances in prospect theory: cumulative representation of uncertainty
- Behavioral optimal insurance
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- Behavioral portfolio selection with loss control
- Constrained nonsmooth utility maximization without quadratic inf convolution
- Dual formulation of the utility maximization problem under transaction costs
- Dual formulation of the utility maximization problem: the case of nonsmooth utility.
- Greed, leverage, and potential losses: a prospect theory perspective
- Horizon dependence of utility optimizers in incomplete models
- scientific article; zbMATH DE number 920136 (Why is no real title available?)
- Integral Representation Without Additivity
- Multi-stock portfolio optimization under prospect theory
- On optimal investment for a behavioral investor in multiperiod incomplete market models
- Optimal consumption-portfolio policies: A convergence from discrete to continuous time models
- Optimal Control of Favorable Games with a Time Limit
- Optimal demand for contingent claims when agents have law invariant utilities
- Optimal financial investments for non-concave utility functions
- Optimal insurance design under rank-dependent expected utility
- Optimal portfolio choice for a behavioural investor in continuous-time markets
- Optimal portfolio delegation when parties have different coefficients of risk aversion
- Optimal stopping under probability distortion
- Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
- Prospect Theory: An Analysis of Decision under Risk
- Reaching goals by a deadline: digital options and continuous-time active portfolio management
- Risk-constrained dynamic active portfolio management
- STABILITY OF THE UTILITY MAXIMIZATION PROBLEM WITH RANDOM ENDOWMENT IN INCOMPLETE MARKETS
- Stability of utility-maximization in incomplete markets
- Static portfolio choice under cumulative prospect theory
- Stochastic finance. An introduction in discrete time.
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- Utilities bounded below
- Utility maximization with a given pricing measure when the utility is not necessarily concave
- Weak convergence of financial markets.
- The influence of perceived stock value price histories in the mean-variance-instability model
- Discrete-time behavioral portfolio selection under cumulative prospect theory
- Nonconcave robust optimization with discrete strategies under Knightian uncertainty
- Continuity of utility maximization under weak convergence
- Some properties of the optimal investment strategy in a behavioral portfolio choice model
- On the investment direction of a behavioral portfolio choice model
- Behavioral portfolio selection with loss control
- scientific article; zbMATH DE number 5008179 (Why is no real title available?)
- Multi-asset portfolio model optimization based on mean multifractal detrended cross correlation analysis
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