Cumulative prospect theory with generalized hyperbolic skewed t distribution
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Publication:4635242
DOI10.1137/16M1093550zbMATH Open1408.91198MaRDI QIDQ4635242FDOQ4635242
Publication date: 16 April 2018
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
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portfolio optimizationcumulative prospect theorygeneralized hyperbolic skewed \(t\) distributionportfolio fund separation
Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
- Title not available (Why is that?)
- On the Unification of Families of Skew-normal Distributions
- Risk, ambiguity and the Savage axioms
- The Probability Weighting Function
- Advances in prospect theory: cumulative representation of uncertainty
- Prospect Theory: An Analysis of Decision under Risk
- Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
- Intermediate Probability
- Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
- Multi-stock portfolio optimization under prospect theory
- Static portfolio choice under cumulative prospect theory
- Loss aversion and the price of risk
- Hope, fear, and aspirations
- Portfolio optimization under a generalized hyperbolic skewedtdistribution and exponential utility
- A Stein type lemma for the multivariate generalized hyperbolic distribution
- Portfolio optimization for Student \(t\) and skewed \(t\) returns
Cited In (4)
- Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
- Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior
- Prospect theory and fat tails
- Some properties of the optimal investment strategy in a behavioral portfolio choice model
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