OPTIMAL PORTFOLIO AND CONSUMPTION MODELS UNDER LOSS AVERSION IN INFINITE TIME HORIZON

DOI10.1017/S0269964816000206zbMath1414.91353MaRDI QIDQ5358096

Jingjing Song, Shuguang Zhang, Xiuchun Bi

Publication date: 19 September 2017

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

zbMATH Keywords

loss aversioninfinite time horizonS-shaped utilityoptimal portfolio and consumption models

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

Optimal DB-PAYGO pension management towards a habitual contribution rate ⋮ Optimal consumption and portfolio selection problems under loss aversion with downside consumption constraints ⋮ Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans

Cites Work

• Unnamed Item
• Advances in prospect theory: cumulative representation of uncertainty
• Dynamic asset allocation with loss aversion in a jump-diffusion model
• Behavioral portfolio selection with loss control
• A Model of Reference-Dependent Preferences*
• Prospect Theory: An Analysis of Decision under Risk
• Myopic Loss Aversion and the Equity Premium Puzzle
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

This page was built for publication: OPTIMAL PORTFOLIO AND CONSUMPTION MODELS UNDER LOSS AVERSION IN INFINITE TIME HORIZON