Behavioral portfolio selection with loss control

DOI10.1007/s10114-011-0380-5zbMath1209.91155MaRDI QIDQ2430900

Song Zhang, Hanqing Jin, Xun Yu Zhou

Publication date: 8 April 2011

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-011-0380-5

zbMATH Keywords

Choquet integral; constraint; portfolio choice; cumulative prospect theory; quantile function; gains and losses

Mathematics Subject Classification ID

91B16: Utility theory

91G80: Financial applications of other theories

91G10: Portfolio theory

Related Items

GREED, LEVERAGE, AND POTENTIAL LOSSES: A PROSPECT THEORY PERSPECTIVE, OPTIMAL PORTFOLIO AND CONSUMPTION MODELS UNDER LOSS AVERSION IN INFINITE TIME HORIZON, A NOTE ON THE QUANTILE FORMULATION, A new characterization of comonotonicity and its application in behavioral finance, Optimal consumption and portfolio selection problems under loss aversion with downside consumption constraints, Optimal portfolio choice for an insurer with loss aversion, BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS

Cites Work

• Advances in prospect theory: cumulative representation of uncertainty
• The role of aspiration level in risky choice: A comparison of cumulative prospect theory and SP/A theory
• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
• PORTFOLIO CHOICE VIA QUANTILES
• Prospect Theory: An Analysis of Decision under Risk
• The Dual Theory of Choice under Risk
• Myopic Loss Aversion and the Equity Premium Puzzle
• GREED, LEVERAGE, AND POTENTIAL LOSSES: A PROSPECT THEORY PERSPECTIVE
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME