Portfolio choice under cumulative prospect theory: An analytical treatment

Management Science

Volumn 57, Issue 2, 2011, Pages 315-331

  He, Xue Dong ^a   Zhou, Xun Yu ^b,c,d  

^a Columbia University ^*  (United States)

^b UNIVERSITY OF OXFORD   (United Kingdom)

^c UNIVERSITY OF OXFORD   (United Kingdom)

^d CHINESE UNIVERSITY OF HONG KONG   (Hong Kong)

Author keywords

Cumulative prospect theory; Portfolio choice; Probability weighting; Reference point function; Single period; Well posedness

Indexed keywords

CUMULATIVE PROSPECT THEORY; PORTFOLIO CHOICE; PROBABILITY WEIGHTING; REFERENCE POINT FUNCTION; SINGLE PERIOD; WELL-POSEDNESS;

OPTIMIZATION; PIECEWISE LINEAR TECHNIQUES;

PROBABILITY;

EID: 79951861026     PISSN: 00251909     EISSN: 15265501     Source Type: Journal    
DOI: 10.1287/mnsc.1100.1269     Document Type: Article

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