Behavioral portfolio selection in continuous time

Mathematical Finance

Volumn 18, Issue 3, 2008, Pages 385-426

  Jin, Hanqing ^a   Yu Zhou, Xun ^b  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Behavioral criterion; Choquet integral; Continuous time; Cumulative prospect theory; Ill posedness; Portfolio selection; Probability distortion; S shaped function

Indexed keywords

EID: 37249041889     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2008.00339.x     Document Type: Article

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