Realization Utility with Path-Dependent Reference Points

DOI10.1137/21M1411457zbMath1498.91421OpenAlexW4292756148MaRDI QIDQ5868797

Cong Qin, Xing Ye Yue, Ling Hui Kong

Publication date: 23 September 2022

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/21m1411457

zbMATH Keywords

HJB equationtransaction costsrealization utilitypath-dependent reference points

Mathematics Subject Classification ID

PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Financial markets (91G15)

Related Items (1)

Speculative trading, prospect theory and transaction costs

Cites Work

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