This thesis deals with the portfolio optimization problem of an investor who aims to maximize the expected utility of her terminal wealth. The considered multidimensional asset price model incorporates several risk factors modeled both by diffusion processes and by a Markov chain. Based on the...

The aim of this dissertation is the behavioral portfolio selection problem in which risk is measured as the probability of shortfall. Using behavioral elements, such as mental accounting, and emotions and cognition, this dissertation investigates empirical issues related to behavioral asset...

This book explores the risk-return paradox in portfolio selection by incorporating multi-objective criteria. Empirical research is presented on the development of alternate portfolio models and their relative performance in the risk/return framework to provide solutions to multi-objective...