Greed, leverage, and potential losses: a prospect theory perspective

DOI10.1111/J.1467-9965.2011.00490.XMaRDI QIDQ4906516zbMATH OpenOpenAlexFDO

Authors Hanqing Jin, Xun Yu Zhou

Publication date 28 February 2013

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2011.00490.x

zbMATH Keywords

cumulative prospect theorygains and lossesgreedleverageportfolio choicereference point

Mathematics Subject Classification ID

Decision theory (91B06) Portfolio theory (91G10) Financial applications of other theories (91G80)

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Cites work

• Advances in prospect theory: cumulative representation of uncertainty
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
• Behavioral portfolio selection with loss control
• scientific article; zbMATH DE number 3984308 (Why is no real title available?)
• Parameter-Free Elicitation of Utility and Probability Weighting Functions
• Prospect Theory: An Analysis of Decision under Risk

Cited in

(17)

• Optimal investment with transaction costs under cumulative prospect theory in discrete time
• Stochastic distortion and its transformed copula
• Stochastic maximum principle on a continuous-time behavioral portfolio model
• Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework
• Goal-based portfolio choice model with discounted preference
• Behavioral portfolio selection with loss control
• Behavioral portfolio selection: asymptotics and stability along a sequence of models
• Skorohod's representation theorem and optimal strategies for markets with frictions
• An analytical approach for behavioral portfolio model with time discounting preference
• Mean-variance portfolio selection for partially observed point processes
• Optimal exit time from casino gambling: strategies of precommitted and naive gamblers
• Behavioral portfolio choice under hyperbolic absolute risk aversion
• Risk-Seeking Behavior and Its Implications for the Optimal Decision Making of Annuity Insurers
• Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks
• Risk-constrained portfolio choice under rank-dependent utility
• Dynamic safety first expected utility model
• Behavioral mean-variance portfolio selection

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