Inverse S-shaped probability weighting and its impact on investment

DOI10.3934/MCRF.2018029zbMATH Open1418.91475OpenAlexW2767887708WikidataQ129107185 ScholiaQ129107185MaRDI QIDQ2001548FDOQ2001548

Roy Kouwenberg, Xue Dong He, Xun Yu Zhou

Publication date: 3 July 2019

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2018029

zbMATH Keywords

portfolio selectionprobability weightingrank-dependent utilityinverse S-shaped weighting functionoptimal stock holding

Mathematics Subject Classification ID

Decision theory (91B06) Portfolio theory (91G10) Utility theory (91B16)

Cites Work

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• Title not available (Why is that?)
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• Risk aversion in the theory of expected utility with rank dependent probabilities
• Dynamic portfolio choice and asset pricing with narrow framing and probability weighting
• Maximization of nonconcave utility functions in discrete-time financial market models
• Rank-Dependent Utility and Risk Taking in Complete Markets
• Advances in Prospect Theory: Cumulative Representation of Uncertainty

Cited In (2)

• Heterogeneity of probability weighting in investment decisions
• Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance

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