Realization utility with adaptive reference points

DOI10.1111/MAFI.12182zbMath1411.91507OpenAlexW3121729597WikidataQ129480392 ScholiaQ129480392MaRDI QIDQ5377179

Linan Yang, Xue Dong He

Publication date: 23 May 2019

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12182

zbMATH Keywords

optimal stoppingcumulative prospect theorywealth utilityrealization utilityreference point adaptation

Mathematics Subject Classification ID

Utility theory (91B16) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

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