Behavioral optimal consumption and portfolio selection in continuous time

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...

Disgrifiad llawn

Manylion Llyfryddiaeth
Prif Awdur:	Wang, K
Awduron Eraill:	Jin, H
Fformat:	Traethawd Ymchwil
Iaith:	English
Cyhoeddwyd:	2013
Pynciau:	Mathematical finance Mathematics

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