Behavioral mean-variance portfolio selection
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Publication:724154
DOI10.1016/J.EJOR.2018.05.065zbMATH Open1403.91305OpenAlexW2806251709WikidataQ129737933 ScholiaQ129737933MaRDI QIDQ724154FDOQ724154
Authors: Hanqing Jin, Junna Bi, Qing-bin Meng 
Publication date: 25 July 2018
Published in: European Journal of Operational Research (Search for Journal in Brave)
Full work available at URL: https://ora.ox.ac.uk/objects/uuid:c6e8d8a1-5fde-40a3-9a7e-6f00a7ce4837
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applied probabilitybehavioural ORmean-variance portfolio selectionprobability distortionquantile approach,
Cites Work
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- Mean-risk analysis with enhanced behavioral content
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- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
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- The role of aspiration level in risky choice: A comparison of cumulative prospect theory and SP/A theory
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Cited In (16)
- Stochastic differential investment and reinsurance game between an insurer and a reinsurer under thinning dependence structure
- On the investment direction of a behavioral portfolio choice model
- Optimal investment problem under behavioral setting: a Lagrange duality perspective
- A varying terminal time mean-variance model
- Portfolio selection with exploration of new investment assets
- An analysis of dollar cost averaging and market timing investment strategies
- Portfolio optimization under safety first expected utility with nonlinear probability distortion
- Non-zero-sum reinsurance and investment game under thinning dependence structure: mean–variance premium principle
- Portfolio decisions and brain reactions via the CEAD method
- On the strategic behavior of large investors: a mean-variance portfolio approach
- Behavioral mean-risk portfolio selection in continuous time via quantile
- Mean-variance portfolio selection for partially observed point processes
- Title not available (Why is that?)
- Equilibrium reinsurance-investment strategies with partial information and common shock dependence
- Portfolio optimization with behavioural preferences and investor memory
- The impact of ambiguity on dynamic portfolio selection in the epsilon-contaminated binomial market model
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