GREED, LEVERAGE, AND POTENTIAL LOSSES: A PROSPECT THEORY PERSPECTIVE
From MaRDI portal
Publication:4906516
DOI10.1111/j.1467-9965.2011.00490.xzbMath1282.91303OpenAlexW3124087926MaRDI QIDQ4906516
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00490.x
Related Items
Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework ⋮ Goal-based portfolio choice model with discounted preference ⋮ Optimal investment with transaction costs under cumulative prospect theory in discrete time ⋮ Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions ⋮ Risk-Seeking Behavior and Its Implications for the Optimal Decision Making of Annuity Insurers ⋮ Asymptotic properties of generalized shortfall risk measures for heavy-tailed risks ⋮ Behavioral portfolio selection with loss control ⋮ An analytical approach for behavioral portfolio model with time discounting preference ⋮ Mean-Variance Portfolio Selection for Partially Observed Point Processes ⋮ Stochastic distortion and its transformed copula ⋮ Stochastic maximum principle on a continuous-time behavioral portfolio model ⋮ BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS ⋮ Dynamic safety first expected utility model ⋮ Behavioral mean-variance portfolio selection ⋮ Stochastic maximum principle under probability distortion ⋮ Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers ⋮ BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION
Cites Work
- Unnamed Item
- Advances in prospect theory: cumulative representation of uncertainty
- Behavioral portfolio selection with loss control
- Parameter-Free Elicitation of Utility and Probability Weighting Functions
- Prospect Theory: An Analysis of Decision under Risk
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME