An analytical approach for behavioral portfolio model with time discounting preference

DOI10.1051/ro/2017039zbMath1419.91597OpenAlexW2615670599MaRDI QIDQ4611471

Ahmed Adeel Khan, Guang Yang, Jindong Qin, Xin-Wang Liu

Publication date: 18 January 2019

Published in: RAIRO - Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1051/ro/2017039

zbMATH Keywords

analytical solutiontime discountingportfolio choicesatisfying behavior

Mathematics Subject Classification ID

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

Cites Work

• Unnamed Item
• Continuous-time portfolio optimisation for a behavioural investor with bounded utility on gains
• Non-parametric test of time consistency: present bias and future bias
• Advances in prospect theory: cumulative representation of uncertainty
• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
• Satisficing Measures for Analysis of Risky Positions
• An Investigation of Time Inconsistency
• Dynamic Portfolio Allocation, the Dual Theory of Choice and Probability Distortion Functions
• The Dual Theory of Choice under Risk
• Myopic Loss Aversion and the Equity Premium Puzzle
• GREED, LEVERAGE, AND POTENTIAL LOSSES: A PROSPECT THEORY PERSPECTIVE

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