Relative growth rate optimization under behavioral criterion

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...

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Bibliographic Details
Main Authors: Peng, Jing, Wei, Pengyu, Xu, Zuo Quan
Other Authors: Nanyang Business School
Format: Journal Article
Language:English
Published: 2024
Subjects:
Business and Management
Behavioral finance
Prospect theory
Online Access:https://hdl.handle.net/10356/173743

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