Mean–semivariance portfolio selection under probability distortion

DOI10.1080/17442508.2013.797425zbMath1284.91512OpenAlexW1966956708MaRDI QIDQ5410798

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Publication date: 17 April 2014

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2013.797425

zbMATH Keywords

Choquet integralportfolio selectionprobability distortionquantile formulationmean-semivariance

Mathematics Subject Classification ID

Fuzzy measure theory (28E10) Portfolio theory (91G10)

Related Items (3)

Portfolio optimization under safety first expected utility with nonlinear probability distortion ⋮ Behavioral mean-risk portfolio selection in continuous time via quantile ⋮ Behavioral mean-variance portfolio selection

Cites Work

• Advances in prospect theory: cumulative representation of uncertainty
• The role of aspiration level in risky choice: A comparison of cumulative prospect theory and SP/A theory
• Continuous-time mean-risk portfolio selection
• Prospect Theory: An Analysis of Decision under Risk
• The Dual Theory of Choice under Risk
• Convex Programming and Duality in Normed Space

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