Inverse S-shaped probability weighting and its impact on investment

DOI10.3934/mcrf.2018029zbMath1418.91475OpenAlexW2767887708WikidataQ129107185 ScholiaQ129107185MaRDI QIDQ2001548

Roy Kouwenberg, Xue Dong He, Xun Yu Zhou

Publication date: 3 July 2019

Published in: Mathematical Control and Related Fields (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/mcrf.2018029

zbMATH Keywords

portfolio selectionrank-dependent utilityprobability weightinginverse S-shaped weighting functionoptimal stock holding

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16) Portfolio theory (91G10)

Related Items (2)

Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance ⋮ Heterogeneity of probability weighting in investment decisions

Cites Work

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• Rank-Dependent Utility and Risk Taking in Complete Markets

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