Behavioral portfolio selection with loss control

DOI10.1007/s10114-011-0380-5zbMath1209.91155OpenAlexW3123251186MaRDI QIDQ2430900

Song Zhang, Hanqing Jin, Xun Yu Zhou

Publication date: 8 April 2011

Published in: Acta Mathematica Sinica. English Series (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10114-011-0380-5

zbMATH Keywords

Choquet integralconstraintportfolio choicecumulative prospect theoryquantile functiongains and losses

Mathematics Subject Classification ID

Utility theory (91B16) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (14)

The optimal payoff for a Yaari investor ⋮ Relative Growth Rate Optimization Under Behavioral Criterion ⋮ Risk-Seeking Behavior and Its Implications for the Optimal Decision Making of Annuity Insurers ⋮ OPTIMAL PORTFOLIO AND CONSUMPTION MODELS UNDER LOSS AVERSION IN INFINITE TIME HORIZON ⋮ Optimal consumption and portfolio selection problems under loss aversion with downside consumption constraints ⋮ A new characterization of comonotonicity and its application in behavioral finance ⋮ GREED, LEVERAGE, AND POTENTIAL LOSSES: A PROSPECT THEORY PERSPECTIVE ⋮ A NOTE ON THE QUANTILE FORMULATION ⋮ BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS ⋮ Optimal portfolio choice for an insurer with loss aversion ⋮ Dynamic consumption and portfolio choice under prospect theory ⋮ On the construction of optimal payoffs ⋮ Portfolio selection with robust estimators considering behavioral biases in a causal network ⋮ BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION

Cites Work

• Advances in prospect theory: cumulative representation of uncertainty
• The role of aspiration level in risky choice: A comparison of cumulative prospect theory and SP/A theory
• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
• PORTFOLIO CHOICE VIA QUANTILES
• Prospect Theory: An Analysis of Decision under Risk
• The Dual Theory of Choice under Risk
• Myopic Loss Aversion and the Equity Premium Puzzle
• GREED, LEVERAGE, AND POTENTIAL LOSSES: A PROSPECT THEORY PERSPECTIVE
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

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