OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION

DOI10.1142/S0219024917500145zbMath1396.91709MaRDI QIDQ2986672

Bin Zou

Publication date: 16 May 2017

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

zbMATH Keywords

sensitivity analysisrisk managementcumulative prospect theoryoptimal investmentexponential utilitypower utility

Mathematics Subject Classification ID

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

Related Items (3)

Optimal fee structure of variable annuities ⋮ Optimal investment with transaction costs under cumulative prospect theory in discrete time ⋮ Reinsurance games with two reinsurers: tree versus chain

Cites Work

• Unnamed Item
• Advances in prospect theory: cumulative representation of uncertainty
• Optimal investment with transaction costs under cumulative prospect theory in discrete time
• An index of loss aversion
• Static portfolio choice under cumulative prospect theory
• Multi-stock portfolio optimization under prospect theory
• Portfolio optimization under convex incentive schemes
• THE INCENTIVES OF HEDGE FUND FEES AND HIGH-WATER MARKS
• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
• OPTIMAL DEMAND FOR CONTINGENT CLAIMS WHEN AGENTS HAVE LAW INVARIANT UTILITIES
• PORTFOLIO CHOICE VIA QUANTILES
• The Framing of Decisions and the Psychology of Choice
• Prospect Theory: An Analysis of Decision under Risk
• PROFIT SHARING IN HEDGE FUNDS
• ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

This page was built for publication: OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION