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 |
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2013
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| _version_ | 1797054211431596032 |
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| author | Wang, K |
| author2 | Jin, H |
| author_facet | Jin, H Wang, K |
| author_sort | Wang, K |
| collection | OXFORD |
| description | <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 distortions. By using a quantile method and divide-and-conquer scheme, we solve the problem quite explicitly and the optimal consumption is in general characterized in two parts: the agent has rich consumption above the benchmark in good situations and suffers from hunger (i.e. no consumption) in bad situations. An example is given to show that judging whether the market is good or bad depends highly on the agent’s benchmark. Finally we give the strategy for optimal consumption and portfolio selection to maximize behavioral utilities from both consumption and terminal wealth.</p> |
| first_indexed | 2024-03-06T18:54:00Z |
| format | Thesis |
| id | oxford-uuid:11336b8d-e15e-4920-b361-c9502ab60f79 |
| institution | University of Oxford |
| language | English |
| last_indexed | 2024-03-06T18:54:00Z |
| publishDate | 2013 |
| record_format | dspace |
| spelling | oxford-uuid:11336b8d-e15e-4920-b361-c9502ab60f792022-03-26T10:00:55ZBehavioral optimal consumption and portfolio selection in continuous timeThesishttp://purl.org/coar/resource_type/c_bdccuuid:11336b8d-e15e-4920-b361-c9502ab60f79Mathematical financeMathematicsEnglishOxford University Research Archive - Valet2013Wang, KJin, H<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 distortions. By using a quantile method and divide-and-conquer scheme, we solve the problem quite explicitly and the optimal consumption is in general characterized in two parts: the agent has rich consumption above the benchmark in good situations and suffers from hunger (i.e. no consumption) in bad situations. An example is given to show that judging whether the market is good or bad depends highly on the agent’s benchmark. Finally we give the strategy for optimal consumption and portfolio selection to maximize behavioral utilities from both consumption and terminal wealth.</p> |
| spellingShingle | Mathematical finance Mathematics Wang, K Behavioral optimal consumption and portfolio selection in continuous time |
| title | Behavioral optimal consumption and portfolio selection in continuous time |
| title_full | Behavioral optimal consumption and portfolio selection in continuous time |
| title_fullStr | Behavioral optimal consumption and portfolio selection in continuous time |
| title_full_unstemmed | Behavioral optimal consumption and portfolio selection in continuous time |
| title_short | Behavioral optimal consumption and portfolio selection in continuous time |
| title_sort | behavioral optimal consumption and portfolio selection in continuous time |
| topic | Mathematical finance Mathematics |
| work_keys_str_mv | AT wangk behavioraloptimalconsumptionandportfolioselectionincontinuoustime |