Behavioral mean-variance portfolio selection
In this paper, a behavioral mean-variance portfolio selection problem in continuous time is formulated and studied. Unlike in the standard mean-variance portfolio selection problem, the cumulative distribution function of the cash flow is distorted by the probability distortion function used in the...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
Elsevier
2018
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