BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
نویسندگان
چکیده
منابع مشابه
Behavioral Portfolio Selection in Continuous Time ∗
This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky’s (cumulative) prospect theory, featuring S-shaped utility (value) functions and probability distortions. Unlike the conventional expected utility maximization model, such a behavioral model could be easily misformulated (a.k.a. ill-posed) if its different components do no...
متن کاملSe p 20 07 Behavioral Portfolio Selection in Continuous Time ∗
This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky’s (cumulative) prospect theory, featuring S-shaped utility (value) functions and probability distortions. Unlike the conventional expected utility maximization model, such a behavioral model could be easily misformulated (a.k.a. ill-posed) if its different components do no...
متن کاملErratum to “ Behavioral Portfolio Selection in Continuous Time ” ∗
We fill a gap in the proof of a (rather critical) lemma, Lemma B.1, in Jin and Zhou [Mathematical Finance, Vol. 18 (2008), pp. 385–426]. We also correct a couple of other minor errors in the same paper.
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2008
ISSN: 0960-1627,1467-9965
DOI: 10.1111/j.1467-9965.2008.00339.x