BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
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Publication:5900233
DOI10.1111/j.1467-9965.2008.00339.xzbMath1141.91454arXiv0709.2830MaRDI QIDQ5900233
Publication date: 21 August 2008
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/0709.2830
Choquet integral; ill-posedness; portfolio selection; continuous time; cumulative prospect theory; probability distortion; behavioral criterion; S-shaped function
91G10: Portfolio theory
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