Optimal investment under behavioural criteria –- a dual approach

DOI10.4064/bc104-0-9zbMath1318.91187arXiv1405.3812OpenAlexW1995423187MaRDI QIDQ5245479

José G. Rodríguez-Villarreal, Miklós Rásonyi

Publication date: 8 April 2015

Published in: Banach Center Publications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1405.3812

zbMATH Keywords

cumulative prospect theorynon-concave utilityprobability distortionwell-posedness and existenceoptimal portfolio choicebehavioural investors

Mathematics Subject Classification ID

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

Related Items (5)

Optimal Investment with Nonconcave Utilities in Discrete-Time Markets ⋮ On utility maximization under model uncertainty in discrete‐time markets ⋮ Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions ⋮ Non-concave utility maximisation on the positive real axis in discrete time ⋮ Existence of solutions in non-convex dynamic programming and optimal investment

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