Continuous-time behavioral portfolio selection

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...

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Bibliografische gegevens
Hoofdauteurs:	Jin, H, Zhou, X
Formaat:	Journal article
Taal:	English
Gepubliceerd in:	2008

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