Optimal investment problem under behavioral setting: a Lagrange duality perspective
From MaRDI portal
Publication:6087275
DOI10.1016/j.jedc.2023.104751zbMath1526.91023MaRDI QIDQ6087275
Zhen-Yu Cui, Jiacheng Fan, Shuguang Zhang, Xiuchun Bi, Lvning Yuan
Publication date: 15 November 2023
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
relaxation method; portfolio optimization; Lagrange duality; behavioral finance; non-concave utility; probability distortion
Cites Work
- Utility maximization with a given pricing measure when the utility is not necessarily concave
- Rationalizing investors' choices
- Behavioral mean-variance portfolio selection
- On the construction of optimal payoffs
- Advances in prospect theory: cumulative representation of uncertainty
- Constrained non-concave utility maximization: an application to life insurance contracts with guarantees
- Optimal payoff under the generalized dual theory of choice
- Portfolio optimization with behavioural preferences and investor memory
- Portfolio optimization under convex incentive schemes
- Dynamic consumption and portfolio choice under prospect theory
- HOPE, FEAR, AND ASPIRATIONS
- Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
- PORTFOLIO CHOICE VIA QUANTILES
- Risk-Constrained Dynamic Active Portfolio Management
- Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function
- Prospect Theory: An Analysis of Decision under Risk
- PROFIT SHARING IN HEDGE FUNDS
- Reaching goals by a deadline: digital options and continuous-time active portfolio management
- The Dual Theory of Choice under Risk
- Risk management with weighted VaR
- The optimal payoff for a Yaari investor
- Rank-Dependent Utility and Risk Taking in Complete Markets
- ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES
- A NOTE ON THE QUANTILE FORMULATION
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
