BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

DOI10.1111/j.1467-9965.2008.00339.xzbMath1138.91451arXiv0709.4467MaRDI QIDQ5900044

Zuo Quan Xu, Hanqing Jin, Xun Yu Zhou

Publication date: 22 May 2008

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

Full work available at URL: https://arxiv.org/abs/0709.4467

Mathematics Subject Classification ID

90C15: Stochastic programming

91G10: Portfolio theory

Related Items

BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME, BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME, Utility maximization with a given pricing measure when the utility is not necessarily concave, Optimal reinsurance with general risk measures, Extending pricing rules with general risk functions, Portfolio selection of a closed-end mutual fund, Optimal stopping under probability distortion, Behavioral portfolio selection with loss control

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• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME