ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS
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Publication:5175225
DOI10.1111/mafi.12018zbMath1318.91176arXiv1107.1617OpenAlexW2145012169MaRDI QIDQ5175225
Miklós Rásonyi, Laurence Carassus
Publication date: 20 February 2015
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1107.1617
optimizationChoquet integralprobability distortionS-shaped utility functionexistence and well-posedness in behavioral finance
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