Continuous-time behavioral portfolio selection
This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S-shaped utility (value) functions and probability distortions. The optimal terminal wealth positions, derived in fairly explicit...
| Main Authors: | , |
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| Format: | Journal article |
| Language: | English |
| Published: |
2008
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