Continuous-time portfolio optimisation for a behavioural investor with bounded utility on gains

DOI10.1214/ECP.V19-2990zbMath1297.91133arXiv1309.0362OpenAlexW2058524698MaRDI QIDQ457788

Andrea Sofia Meireles Rodrigues, Miklós Rásonyi

Publication date: 29 September 2014

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.0362

zbMATH Keywords

Choquet integraloptimal portfoliomarket completenesscontinuous-time modelsbehavioural financenon-concave utilitybounded utilityprobability distortion

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (7)

Goal-based portfolio choice model with discounted preference ⋮ Optimal Investment with Nonconcave Utilities in Discrete-Time Markets ⋮ Optimal investment with transaction costs under cumulative prospect theory in discrete time ⋮ Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions ⋮ An analytical approach for behavioral portfolio model with time discounting preference ⋮ Existence of solutions in non-convex dynamic programming and optimal investment ⋮ BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION

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