Behavioral optimal consumption and portfolio selection in continuous time
<p>This thesis mainly concerns a continuous-time behavioral consumption model under Kahneman and Tversky’s cumulative prospect theory. Mathematically this is a non- concave maximization problem because of the presence of an S-shaped functional and the presence of so-called probability distorti...
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| Format: | Thesis |
| Language: | English |
| Published: |
2013
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