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: | , |
|---|---|
| Formato: | Journal article |
| Idioma: | English |
| Publicado: |
2008
|