Relative growth rate optimization under behavioral criterion
This paper studies a continuous-time optimal portfolio selection problem in a complete market for a behavioral investor whose preference is of the prospect type with probability distortion. The investor is concerned with the terminal relative growth rate (log-return) instead of absolute capital valu...
Main Authors: | Peng, Jing, Wei, Pengyu, Xu, Zuo Quan |
---|---|
Other Authors: | Nanyang Business School |
Format: | Journal Article |
Language: | English |
Published: |
2024
|
Subjects: | |
Online Access: | https://hdl.handle.net/10356/173743 |
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