On the Optimal Investment

DOI10.1007/978-3-319-45875-5_15zbMath1367.91163OpenAlexW3010257295MaRDI QIDQ4976507

Olivier Menoukeu Pamen, José Manuel Corcuera, José Fajardo

Publication date: 31 July 2017

Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-45875-5_15

zbMATH Keywords

prospect theoryexpected utilityrisk aversiongrowth optimal portfoliolaw invariant preferencesportfolio numeraire

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

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