Stochastic maximum principle under probability distortion
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Publication:2041031
DOI10.1007/s00245-019-09621-xzbMath1468.91140arXiv1710.11432MaRDI QIDQ2041031
Publication date: 15 July 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1710.11432
stochastic maximum principle; probability distortion; behavioral portfolio optimization; \(S\)-shaped utility function; cumulative prospective theory