On optimal investment for a behavioral investor in multiperiod incomplete market models
Year of publication: |
2015
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Authors: | Carassus, Laurence ; Rásonyi, Miklós |
Published in: |
Mathematical finance : an international journal of mathematics, statistics and financial theory. - Malden, Mass. [u.a] : Wiley-Blackwell, ISSN 0960-1627, ZDB-ID 1073194-5. - Vol. 25.2015, 1, p. 115-153
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Subject: | optimization | existence and well-posedness in behavioral finance | "S-shaped" utility function | probability distortion | Choquet integral | Anlageverhalten | Behavioural finance | Nutzenfunktion | Utility function | Unvollkommener Markt | Incomplete market | Portfolio-Management | Portfolio selection | Erwartungsnutzen | Expected utility | Prospect Theory | Prospect theory |
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