BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION

DOI10.1142/S0219024920500454zbMath1460.91247OpenAlexW2914448910WikidataQ115523129 ScholiaQ115523129MaRDI QIDQ5854312

Andreas Lichtenstern, Marcos Escobar Anel, Rudi Zagst

Publication date: 16 March 2021

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219024920500454

zbMATH Keywords

portfolio choiceHARA utilitybehavioral financeprobability distortionInada condition\(S\)-shaped utility function

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10)

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