BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

DOI10.1111/j.1467-9965.2008.00339.xzbMath1141.91454arXiv0709.2830MaRDI QIDQ5900233

Hanqing Jin, Xun Yu Zhou

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

zbMATH Keywords

Choquet integral; ill-posedness; portfolio selection; continuous time; cumulative prospect theory; probability distortion; behavioral criterion; S-shaped function

Mathematics Subject Classification ID

91G10: Portfolio theory

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