In contrast with the classical models of frictionless financial markets, market models with proportional transaction costs, even satisfying usual no-arbitrage properties, may admit arbitrage opportunities of the second kind. This means that there are self-financing portfolios with initial...

Preface -- Credibility Theory -- Credibilistic Programming -- Mathematical Programming -- Expected Value Model -- Chance-Constrained Programming -- Entropy Maximization Model -- Cross-Entropy Minimization Model -- Regret Minimization Model

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...