Continuous-time portfolio optimisation for a behavioural investor with bounded utility on gains
type: Item
instance of: scholarly article
title: Continuous-time portfolio optimisation for a behavioural investor with bounded utility on gains
zbMATH Open document ID: 1297.91133
author: Miklós Rásonyi
author: Andrea Sofia Meireles Rodrigues
published in: Electronic Communications in Probability
publication date: 2014-09-29T00:00:00Z
full work available at URL: https://arxiv.org/abs/1309.0362
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 49J55
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6349196
zbMATH Keywords: behavioural finance
zbMATH Keywords: bounded utility
zbMATH Keywords: Choquet integral
zbMATH Keywords: continuous-time models
zbMATH Keywords: market completeness
zbMATH Keywords: non-concave utility
zbMATH Keywords: optimal portfolio
zbMATH Keywords: probability distortion
MaRDI profile type: Publication
arXiv ID: 1309.0362
OpenAlex ID: W2058524698
DOI: 10.1214/ECP.V19-2990
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description: scientific article; zbMATH DE number 6349196