ERRATUM TO “BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME”

DOI10.1111/j.1467-9965.2010.00409.xzbMath1192.91173OpenAlexW3122252064MaRDI QIDQ3576961

Hanqing Jin, Xun Yu Zhou

Publication date: 3 August 2010

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00409.x

zbMATH Keywords

portfolio selectioncontinuous timecumulative prospect theoryprobability distortionbehavioral criterionS-shaped function

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (4)

SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY ⋮ Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets ⋮ OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY ⋮ Myopic loss aversion, reference point, and money illusion

Cites Work

• On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
• Rearrangement inequalities in non-convex insurance models
• PORTFOLIO CHOICE VIA QUANTILES
• A REPRESENTATION RESULT FOR CONCAVE SCHUR CONCAVE FUNCTIONS
• Optimal Investments for Robust Utility Functionals in Complete Market Models
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

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