Behavioral mean-variance portfolio selection

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...

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Bibliographic Details
Main Authors:	Bi, J, Jin, H, Meng, Q
Format:	Journal article
Language:	English
Published:	Elsevier 2018

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