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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| フォーマット: | Journal article |
| 出版事項: |
Blackwell Publishing Inc.
2008
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