Optimal investment problem under behavioral setting: a Lagrange duality perspective (Q6087275)
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scientific article; zbMATH DE number 7765444
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal investment problem under behavioral setting: a Lagrange duality perspective |
scientific article; zbMATH DE number 7765444 |
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Optimal investment problem under behavioral setting: a Lagrange duality perspective (English)
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15 November 2023
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portfolio optimization
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behavioral finance
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non-concave utility
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probability distortion
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relaxation method
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Lagrange duality
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