Utilities bounded below

DOI10.1007/S10436-012-0212-3zbMath1298.91202OpenAlexW2099313572MaRDI QIDQ470662

Roman Muraviev, L. C. G. Rogers

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-012-0212-3

zbMATH Keywords

expected utilitynon-concave utilityvon Neumann-Morgenstern preferences

Mathematics Subject Classification ID

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

Related Items (2)

Optimal Investment with Nonconcave Utilities in Discrete-Time Markets ⋮ BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS

Cites Work

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• Utility maximization with a given pricing measure when the utility is not necessarily concave
• Advances in prospect theory: cumulative representation of uncertainty
• Prospect Theory: An Analysis of Decision under Risk
• Myopic Loss Aversion and the Equity Premium Puzzle
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

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