Behavioral Portfolio Selection with Loss Control
In this paper we formulate a continuous-time behavioral (à la cumulative prospect theory) portfolio selection model where the losses are constrained by a pre-specified upper bound. Economically the model is motivated by the previously proved fact that the losses occurring in a bad state of the world...
| Autores principales: | , , |
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| Formato: | Journal article |
| Lenguaje: | English |
| Publicado: |
2011
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