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...

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Bibliografiska uppgifter
Huvudupphovsmän: Jin, H, Yu Zhou, X
Materialtyp: Journal article
Publicerad: Blackwell Publishing Inc. 2008