Realization utility with path-dependent reference points

DOI10.1137/21M1411457MaRDI QIDQ5868797zbMATH OpenOpenAlexFDO

Authors Cong Qin, L. H. Kong, Xingye Yue

Publication date 23 September 2022

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/21m1411457

zbMATH Keywords

HJB equationpath-dependent reference pointsrealization utilitytransaction costs

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial markets (91G15)

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Cites work

• A jump-diffusion model for option pricing
• A model of reference-dependent preferences
• A penalty method for American options with jump diffusion processes
• Advances in prospect theory: cumulative representation of uncertainty
• Characterization of optimal strategy for multiasset investment and consumption with transaction costs
• Controlled Markov processes and viscosity solutions
• Dynamic trading with reference point adaptation and loss aversion
• Failing to foresee the updating of the reference point leads to time-inconsistent investment
• scientific article; zbMATH DE number 5207903 (Why is no real title available?)
• Optimal investment and consumption with transaction costs
• Option pricing when underlying stock returns are discontinuous
• Penalty method for portfolio selection with capital gains tax
• Penalty methods for continuous-time portfolio selection with proportional transaction costs
• Predicting utility under satiation and habit formation
• Realization utility with adaptive reference points

Cited in

(4)

• Speculative trading, prospect theory and transaction costs
• Dynamic trading with reference point adaptation and loss aversion
• Realization utility with adaptive reference points
• Robust dynamic trading with realization utility

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