Optimal investment with transaction costs under cumulative prospect theory in discrete time
Year of publication: |
September 2017
|
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Authors: | Zou, Bin ; Zagst, Rudi |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9679, ZDB-ID 2389728-4. - Vol. 11.2017, 4, p. 393-421
|
Subject: | Cumulative prospect theory | Economic analysis | Optimal investment | S-shaped utility | Transaction costs | Prospect Theory | Prospect theory | Transaktionskosten | Portfolio-Management | Portfolio selection |
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