Gain-loss hedging and cumulative prospect theory

DOI10.1016/j.mathsocsci.2024.07.003MaRDI QIDQ6637006

Alain Chateauneuf, Lorenzo Bastianello, Bernard Cornet

Publication date: 12 November 2024

Published in: Mathematical Social Sciences (Search for Journal in Brave)

zbMATH Keywords

Choquet integralŠipoš integralcomonotonicitycumulative prospect theorygain-loss hedging

Mathematics Subject Classification ID

Utility theory (91B16)

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