We fill a gap in the proof of a (rather critical) lemma, Lemma B.1, in Jin and Zhou (Mathematical Finance, Vol. 18 (2008), pp. 385–426). We also correct a couple of other minor errors in the same paper

In this paper we formulate a continuous-time behavioral (a la cumulative prospect theory) portfolio selection model where the losses are constrained by a pre-specified upper bound. Economically the model is motivated by the previously proved fact that the losses occurring in a bad state of the...

We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the investment behavior of sophisticated consistent planners who...