Optimal investment problem under behavioral setting : a Lagrange duality perspective
Xiuchun Bi, Zhenyu Cui, Jiacheng Fan, Lvning Yuan, Shuguang Zhang
| Year of publication: |
2023
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|---|---|
| Authors: | Bi, Xiuchun ; Cui, Zhenyu ; Fan, Jiacheng ; Yuan, Lvning ; Zhang, Shuguang |
| Published in: |
Journal of economic dynamics & control. - Amsterdam [u.a.] : Elsevier, ISSN 0165-1889, ZDB-ID 717409-3. - Vol. 156.2023, p. 1-31
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| Subject: | Portfolio optimization | Behavioral finance | Non-concave utility | Probability distortion | Relaxation method | Lagrange duality | Theorie | Theory | Portfolio-Management | Portfolio selection | Anlageverhalten | Behavioural finance | Mathematische Optimierung | Mathematical programming | Duales Optimierungsproblem | Dual optimization problem |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jedc.2023.104751 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014480345