Continuous-time portfolio optimisation for a behavioural investor with bounded utility on gains (Q457788)
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scientific article; zbMATH DE number 6349196
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| English | Continuous-time portfolio optimisation for a behavioural investor with bounded utility on gains |
scientific article; zbMATH DE number 6349196 |
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Continuous-time portfolio optimisation for a behavioural investor with bounded utility on gains (English)
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29 September 2014
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behavioural finance
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bounded utility
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Choquet integral
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continuous-time models
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market completeness
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non-concave utility
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optimal portfolio
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probability distortion
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0.94754195
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0.9151045
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0.91381615
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0.9071432
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0.90614355
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0.90210706
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0.9001989
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0.89731216
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