Optimal Investment under Behavioral Criteria in Incomplete Diffusion Market Models

DOI10.1137/S0040585X97T987892zbMath1352.91031arXiv1501.01504OpenAlexW2962996260MaRDI QIDQ3178729

José G. Rodríguez-Villarreal, Miklós Rásonyi

Publication date: 7 December 2016

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1501.01504

zbMATH Keywords

independenceincomplete diffusion marketsKrylov theoremtheory of cumulative perspectives

Mathematics Subject Classification ID

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

Related Items (3)

Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation ⋮ Consistent investment of sophisticated rank‐dependent utility agents in continuous time ⋮ Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions

Cites Work

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• ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS
• Exposition of a New Theory on the Measurement of Risk
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
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