Optimal investment problem under behavioral setting: a Lagrange duality perspective
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Publication:6087275
DOI10.1016/j.jedc.2023.104751zbMath1526.91023MaRDI QIDQ6087275
Zhen-Yu Cui, Jiacheng Fan, Shuguang Zhang, Xiuchun Bi, Lvning Yuan
Publication date: 15 November 2023
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
relaxation methodportfolio optimizationLagrange dualitybehavioral financenon-concave utilityprobability distortion
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