OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION
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Publication:2986672
DOI10.1142/S0219024917500145zbMath1396.91709MaRDI QIDQ2986672
Publication date: 16 May 2017
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
sensitivity analysisrisk managementcumulative prospect theoryoptimal investmentexponential utilitypower utility
Related Items (3)
Optimal fee structure of variable annuities ⋮ Optimal investment with transaction costs under cumulative prospect theory in discrete time ⋮ Reinsurance games with two reinsurers: tree versus chain
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