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Behavioral Portfolio Selection In Continuous Time

Citations

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Cited by:

  1. Song, Jingjing & Bi, Xiuchun & Li, Rong & Zhang, Shuguang, 2017. "Optimal consumption and portfolio selection problems under loss aversion with downside consumption constraints," Applied Mathematics and Computation, Elsevier, vol. 299(C), pages 80-94.
  2. Zongxia Liang & Xiaodong Luo & Fengyi Yuan, 2022. "Consumption-investment decisions with endogenous reference point and drawdown constraint," Papers 2204.00530, arXiv.org, revised Nov 2022.
  3. Marco Frittelli & Marco Maggis, 2010. "Dual Representation of Quasiconvex Conditional Maps," Papers 1001.3644, arXiv.org, revised Jan 2010.
  4. Xiangyu Wang & Jianming Xia & Zuo Quan Xu & Zhou Yang, 2020. "Minimal Quantile Functions Subject to Stochastic Dominance Constraints," Papers 2008.02420, arXiv.org, revised Aug 2022.
  5. Zuo Quan Xu, 2013. "A New Characterization of Comonotonicity and its Application in Behavioral Finance," Papers 1311.6080, arXiv.org, revised Jun 2014.
  6. Vicky Henderson & Jonathan Muscat, 2020. "Partial liquidation under reference-dependent preferences," Finance and Stochastics, Springer, vol. 24(2), pages 335-357, April.
  7. Bin Zou, 2017. "Optimal Investment In Hedge Funds Under Loss Aversion," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-32, May.
  8. Xue Dong He & Xun Yu Zhou, 2011. "Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment," Management Science, INFORMS, vol. 57(2), pages 315-331, February.
  9. Azzato, Jeffrey & Krawczyk, Jacek B & Sissons, Christopher, 2011. "On loss-avoiding lump-sum pension optimization with contingent targets," Working Paper Series 18552, Victoria University of Wellington, School of Economics and Finance.
  10. Romain Blanchard & Laurence Carassus & Miklós Rásonyi, 2018. "No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 88(2), pages 241-281, October.
  11. Ying Hu & Hanqing Jin & Xun Yu Zhou, 2011. "Time-Inconsistent Stochastic Linear--Quadratic Control," Papers 1111.0818, arXiv.org.
  12. Miklos Rasonyi, 2014. "Optimal investment with bounded above utilities in discrete time markets," Papers 1409.2023, arXiv.org.
  13. Li, Yan & Mi, Hui, 2021. "Portfolio optimization under safety first expected utility with nonlinear probability distortion," Chaos, Solitons & Fractals, Elsevier, vol. 147(C).
  14. Romain Blanchard & Laurence Carassus & Miklos Rasonyi, 2018. "Optimal investment with possibly non-concave utilities and no-arbitrage: a measure theoretical approach," Post-Print hal-01883419, HAL.
  15. De Giorgi, Enrico G. & Legg, Shane, 2012. "Dynamic portfolio choice and asset pricing with narrow framing and probability weighting," Journal of Economic Dynamics and Control, Elsevier, vol. 36(7), pages 951-972.
  16. De Giorgi, Enrico & Hens, Thorsten & Rieger, Marc Oliver, 2010. "Financial market equilibria with cumulative prospect theory," Journal of Mathematical Economics, Elsevier, vol. 46(5), pages 633-651, September.
  17. Bi, Junna & Jin, Hanqing & Meng, Qingbin, 2018. "Behavioral mean-variance portfolio selection," European Journal of Operational Research, Elsevier, vol. 271(2), pages 644-663.
  18. Xue Dong He & Moris S. Strub & Thaleia Zariphopoulou, 2019. "Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion," Papers 1904.01745, arXiv.org.
  19. Massimiliano Amarante & Mario Ghossoub & Edmund Phelps, 2012. "Contracting for Innovation under Knightian Uncertainty," Cahiers de recherche 18-2012, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  20. Enrico G. De Giorgi, 2009. "Goal-Based Investing with Cumulative Prospect Theory and Satisficing Behavior," University of St. Gallen Department of Economics working paper series 2009 2009-22, Department of Economics, University of St. Gallen.
  21. Qizhu Liang & Jie Xiong, 2017. "Stochastic maximum principle under probability distortion," Papers 1710.11432, arXiv.org, revised Aug 2018.
  22. Jing Peng & Pengyu Wei & Zuo Quan Xu, 2022. "Relative growth rate optimization under behavioral criterion," Papers 2211.05402, arXiv.org.
  23. Matteo Del Vigna, 2011. "Market equilibrium with heterogeneous behavioural and classical investors' preferences," Working Papers - Mathematical Economics 2011-09, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  24. Moris S. Strub & Duan Li, 2020. "Failing to Foresee the Updating of the Reference Point Leads to Time-Inconsistent Investment," Operations Research, INFORMS, vol. 68(1), pages 199-213, January.
  25. Gopal Basak & Mrinal Ghosh & Diganta Mukherjee, 2011. "Influence of Big Traders on the Stock Market: Theory and Simulation," Dynamic Games and Applications, Springer, vol. 1(2), pages 220-252, June.
  26. Matteo Del Vigna, 2012. "Stochastic dominance for law invariant preferences: The happy story of elliptical distributions," Working Papers - Mathematical Economics 2012-08, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  27. Xue Dong He & Zhaoli Jiang & Steven Kou, 2020. "Portfolio Selection under Median and Quantile Maximization," Papers 2008.10257, arXiv.org, revised Mar 2021.
  28. Curatola, Giuliano, 2016. "Optimal consumption and portfolio choice with loss aversion," SAFE Working Paper Series 130, Leibniz Institute for Financial Research SAFE.
  29. Zongxia Liang & Xiaodong Luo & Fengyi Yuan, 2023. "Consumption-investment decisions with endogenous reference point and drawdown constraint," Mathematics and Financial Economics, Springer, volume 17, number 6, June.
  30. Marcos Escobar-Anel & Andreas Lichtenstern & Rudi Zagst, 2020. "Behavioral portfolio insurance strategies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(4), pages 353-399, December.
  31. Amarante, Massimiliano & Ghossoub, Mario & Phelps, Edmund, 2015. "Ambiguity on the insurer’s side: The demand for insurance," Journal of Mathematical Economics, Elsevier, vol. 58(C), pages 61-78.
  32. De Franco, Carmine & Tankov, Peter, 2011. "Portfolio insurance under a risk-measure constraint," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 361-370.
  33. John Armstrong, 2018. "Classifying Financial Markets up to Isomorphism," Papers 1810.03546, arXiv.org, revised Jul 2020.
  34. Hanqing Jin & Yimin Yang, 2014. "Time-Inconsistent Mean-Utility Portfolio Selection with Moving Target," Papers 1402.6760, arXiv.org.
  35. Jacek B Krawczyk, 2015. "Delivering Left-Skewed Portfolio Payoff Distributions in the Presence of Transaction Costs," Risks, MDPI, vol. 3(3), pages 1-20, August.
  36. Fangyuan Zhang, 2023. "Non-concave portfolio optimization with average value-at-risk," Mathematics and Financial Economics, Springer, volume 17, number 3, June.
  37. Mario Ghossoub, 2015. "Equimeasurable Rearrangements with Capacities," Mathematics of Operations Research, INFORMS, vol. 40(2), pages 429-445, February.
  38. Miklós Rásonyi & Andrea Rodrigues, 2013. "Optimal portfolio choice for a behavioural investor in continuous-time markets," Annals of Finance, Springer, vol. 9(2), pages 291-318, May.
  39. Rania HENTATI & Jean-Luc PRIGENT, 2010. "Structured Portfolio Analysis under SharpeOmega Ratio," EcoMod2010 259600073, EcoMod.
  40. Castañeda, Pablo & Reus, Lorenzo, 2019. "Suboptimal investment behavior and welfare costs: A simulation based approach," Finance Research Letters, Elsevier, vol. 30(C), pages 170-180.
  41. Guan, Guohui & Liang, Zongxia & Xia, Yi, 2023. "Optimal management of DC pension fund under the relative performance ratio and VaR constraint," European Journal of Operational Research, Elsevier, vol. 305(2), pages 868-886.
  42. Zuo Quan Xu, 2021. "Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory," Papers 2108.06940, arXiv.org, revised Aug 2022.
  43. Zuo Quan Xu, 2014. "A Note on the Quantile Formulation," Papers 1403.7269, arXiv.org, revised Apr 2014.
  44. Foster, Jarred & Krawczyk, Jacek B, 2013. "Sensitivity of cautious-relaxed investment policies to target variation," Working Paper Series 2972, Victoria University of Wellington, School of Economics and Finance.
  45. Mikl'os R'asonyi & Jos'e Gregorio Rodr'iguez-Villarreal, 2015. "Optimal investment under behavioural criteria in incomplete diffusion market models," Papers 1501.01504, arXiv.org.
  46. Chao Gong & Chunhui Xu & Ji Wang, 2018. "An Efficient Adaptive Real Coded Genetic Algorithm to Solve the Portfolio Choice Problem Under Cumulative Prospect Theory," Computational Economics, Springer;Society for Computational Economics, vol. 52(1), pages 227-252, June.
  47. Jianming Xia, 2023. "Benchmark Beating with the Increasing Convex Order," Papers 2311.01692, arXiv.org.
  48. Marcos Escobar-Anel & Michel Kschonnek & Rudi Zagst, 2022. "Portfolio optimization: not necessarily concave utility and constraints on wealth and allocation," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 95(1), pages 101-140, February.
  49. Mario Ghossoub, 2016. "Optimal Insurance with Heterogeneous Beliefs and Disagreement about Zero-Probability Events," Risks, MDPI, vol. 4(3), pages 1-28, August.
  50. Guan, Guohui & Liang, Zongxia, 2016. "Optimal management of DC pension plan under loss aversion and Value-at-Risk constraints," Insurance: Mathematics and Economics, Elsevier, vol. 69(C), pages 224-237.
  51. Stephen G Dimmock & Roy Kouwenberg & Olivia S Mitchell & Kim Peijnenburg, 2021. "Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field," The Review of Financial Studies, Society for Financial Studies, vol. 34(9), pages 4524-4563.
  52. Amarante, M & Ghossoub, M & Phelps, E, 2013. "Innovation, Entrepreneurship and Knightian Uncertainty," Working Papers 12241, Imperial College, London, Imperial College Business School.
  53. Jakusch, Sven Thorsten & Meyer, Steffen & Hackethal, Andreas, 2019. "Taming models of prospect theory in the wild? Estimation of Vlcek and Hens (2011)," SAFE Working Paper Series 146, Leibniz Institute for Financial Research SAFE, revised 2019.
  54. Huy N. Chau & Miklos Rasonyi, 2019. "Behavioural investors in conic market models," Papers 1903.08156, arXiv.org.
  55. Sigrid Källblad & Jan Obłój & Thaleia Zariphopoulou, 2018. "Dynamically consistent investment under model uncertainty: the robust forward criteria," Finance and Stochastics, Springer, vol. 22(4), pages 879-918, October.
  56. Liurui Deng & Traian A. Pirvu, 2016. "Multi-period investment strategies under Cumulative Prospect Theory," Papers 1608.08490, arXiv.org, revised Mar 2019.
  57. Azzato, Jeffrey & Krawczyk, Jacek B & Sissons, Christopher, 2011. "On loss-avoiding lump-sum pension optimization with contingent targets," Working Paper Series 1532, Victoria University of Wellington, School of Economics and Finance.
  58. Xun Li & Xiang Yu & Qinyi Zhang, 2021. "Optimal consumption with loss aversion and reference to past spending maximum," Papers 2108.02648, arXiv.org, revised Mar 2024.
  59. Min Dai & Zuo Quan Xu & Xun Yu Zhou, 2009. "Continuous-Time Markowitz's Model with Transaction Costs," Papers 0906.0678, arXiv.org.
  60. Jules Clément Mba & Kofi Agyarko Ababio & Samuel Kwaku Agyei, 2022. "Markowitz Mean-Variance Portfolio Selection and Optimization under a Behavioral Spectacle: New Empirical Evidence," IJFS, MDPI, vol. 10(2), pages 1-16, April.
  61. Weiping Wu & Yu Lin & Jianjun Gao & Ke Zhou, 2023. "Mean-variance hybrid portfolio optimization with quantile-based risk measure," Papers 2303.15830, arXiv.org, revised Apr 2023.
  62. Matteo Del Vigna, 2011. "Financial market equilibria with heterogeneous agents: CAPM and market segmentation," Working Papers - Mathematical Economics 2011-08, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  63. Romain Blanchard & Laurence Carassus & Mikl'os R'asonyi, 2016. "Non-concave optimal investment and no-arbitrage: a measure theoretical approach," Papers 1602.06685, arXiv.org, revised Aug 2016.
  64. Liurui Deng & Traian A. Pirvu, 2019. "Multi-Period Investment Strategies under Cumulative Prospect Theory," JRFM, MDPI, vol. 12(2), pages 1-15, May.
  65. Hentati-Kaffel, Rania, 2016. "Structured products under generalized kappa ratio," Economic Modelling, Elsevier, vol. 58(C), pages 599-614.
  66. Yichun Chi & Zuo Quan Xu & Sheng Chao Zhuang, 2022. "Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 26(3), pages 351-382, August.
  67. Zuo Quan Xu, 2018. "Pareto optimal moral-hazard-free insurance contracts in behavioral finance framework," Papers 1803.02546, arXiv.org, revised Aug 2021.
  68. Ying Hu & Hanqing Jin & Xun Yu Zhou, 2021. "Consistent investment of sophisticated rank‐dependent utility agents in continuous time," Mathematical Finance, Wiley Blackwell, vol. 31(3), pages 1056-1095, July.
  69. Mi, Hui & Xu, Zuo Quan, 2023. "Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 82-105.
  70. Silvana Pesenti & Sebastian Jaimungal, 2020. "Portfolio Optimisation within a Wasserstein Ball," Papers 2012.04500, arXiv.org, revised Jun 2022.
  71. Xu Zuo Quan & Zhou Xun Yu & Zhuang Sheng Chao, 2015. "Optimal Insurance with Rank-Dependent Utility and Increasing Indemnities," Papers 1509.04839, arXiv.org.
  72. Xue Dong He & Zhaoli Jiang, 2020. "Optimal Payoff under the Generalized Dual Theory of Choice," Papers 2012.00345, arXiv.org.
  73. Xue Dong He & Hanqing Jin & Xun Yu Zhou, 2015. "Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR," Mathematics of Operations Research, INFORMS, vol. 40(3), pages 773-796, March.
  74. Huy N. Chau & Mikl'os R'asonyi, 2016. "Skorohod's representation theorem and optimal strategies for markets with frictions," Papers 1606.07311, arXiv.org, revised Apr 2017.
  75. Pengyu Wei & Zuo Quan Xu, 2021. "Dynamic growth-optimum portfolio choice under risk control," Papers 2112.14451, arXiv.org.
  76. Lou, Youcheng & Strub, Moris S. & Li, Duan & Wang, Shouyang, 2021. "The impact of a reference point determined by social comparison on wealth growth and inequality," Journal of Economic Dynamics and Control, Elsevier, vol. 127(C).
  77. Enrico G. De Giorgi & Shane Legg, 2009. "Portfolio Selection with Narrow Framing: Probability Weighting Matters," University of St. Gallen Department of Economics working paper series 2009 2009-12, Department of Economics, University of St. Gallen.
  78. Magni, Carlo Alberto & Marchioni, Andrea & Baschieri, Davide, 2023. "The Attribution Matrix and the joint use of Finite Change Sensitivity Index and Residual Income for value-based performance measurement," European Journal of Operational Research, Elsevier, vol. 306(2), pages 872-892.
  79. Miklos Rasonyi & Andrea M. Rodrigues, 2012. "Optimal Portfolio Choice for a Behavioural Investor in Continuous-Time Markets," Papers 1202.0628, arXiv.org, revised Apr 2013.
  80. Servaas van Bilsen & Roger J. A. Laeven & Theo E. Nijman, 2020. "Consumption and Portfolio Choice Under Loss Aversion and Endogenous Updating of the Reference Level," Management Science, INFORMS, vol. 66(9), pages 3927-3955, September.
  81. Dilip B. Madan, 2016. "Conic Portfolio Theory," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-42, May.
  82. Carlo Alberto Magni & Andrea Marchioni, 2022. "Performance attribution, time-weighted rate of return, and clean finite change sensitivity index," Journal of Asset Management, Palgrave Macmillan, vol. 23(1), pages 62-72, February.
  83. Donnelly, Catherine & Gerrard, Russell & Guillén, Montserrat & Nielsen, Jens Perch, 2015. "Less is more: Increasing retirement gains by using an upside terminal wealth constraint," Insurance: Mathematics and Economics, Elsevier, vol. 64(C), pages 259-267.
  84. Marcel Nutz & Yuchong Zhang, 2019. "Conditional Optimal Stopping: A Time-Inconsistent Optimization," Papers 1901.05802, arXiv.org, revised Oct 2019.
  85. Massimiliano Amarante & Mario Ghossoub, 2016. "Optimal Insurance for a Minimal Expected Retention: The Case of an Ambiguity-Seeking Insurer," Risks, MDPI, vol. 4(1), pages 1-27, March.
  86. Min Dai & Steven Kou & Shuaijie Qian & Xiangwei Wan, 2022. "Nonconcave Utility Maximization with Portfolio Bounds," Management Science, INFORMS, vol. 68(11), pages 8368-8385, November.
  87. Jeon, Junkee & Koo, Hyeng Keun & Shin, Yong Hyun, 2018. "Portfolio selection with consumption ratcheting," Journal of Economic Dynamics and Control, Elsevier, vol. 92(C), pages 153-182.
  88. Armstrong, John & Brigo, Damiano, 2019. "Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 122-135.
  89. Connors, Richard D. & Sumalee, Agachai, 2009. "A network equilibrium model with travellers' perception of stochastic travel times," Transportation Research Part B: Methodological, Elsevier, vol. 43(6), pages 614-624, July.
  90. Sung, K.C.J. & Yam, S.C.P. & Yung, S.P. & Zhou, J.H., 2011. "Behavioral optimal insurance," Insurance: Mathematics and Economics, Elsevier, vol. 49(3), pages 418-428.
  91. Catherine Donnelly & Russell Gerrard & Montserrat Guillén & Jens Perch Nielsen, 2015. "Less is more: increasing retirement gains by using an upside terminal wealth constraint," Working Papers 2015-02, Universitat de Barcelona, UB Riskcenter.
  92. Laurence Carassus & Miklós Rásonyi, 2016. "Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models," Mathematics of Operations Research, INFORMS, vol. 41(1), pages 146-173, February.
  93. Yun Shi & Xiangyu Cui & Jing Yao & Duan Li, 2015. "Dynamic Trading with Reference Point Adaptation and Loss Aversion," Operations Research, INFORMS, vol. 63(4), pages 789-806, August.
  94. Curatola, Giuliano, 2017. "Optimal portfolio choice with loss aversion over consumption," The Quarterly Review of Economics and Finance, Elsevier, vol. 66(C), pages 345-358.
  95. Christian Hilpert, 2020. "The Effect of Risk Aversion and Loss Aversion on Equity‐Linked Life Insurance With Surrender Guarantees," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 87(3), pages 665-687, September.
  96. Zhao, Jingdong & Zhu, Hongliang & Li, Xindan, 2018. "Optimal execution with price impact under Cumulative Prospect Theory," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 490(C), pages 1228-1237.
  97. L. Rüschendorf & Steven Vanduffel, 2020. "On the construction of optimal payoffs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 129-153, June.
  98. Mingyu Xu & Zuo Quan Xu & Xun Yu Zhou, 2022. "$g$-Expectation of Distributions," Papers 2208.06535, arXiv.org.
  99. Luciano Campi & Matteo del Vigna, 2011. "Weak Insider Trading and Behavioral Finance," Working Papers hal-00566185, HAL.
  100. Mikl'os R'asonyi & Andrea Meireles Rodrigues, 2013. "Continuous-Time Portfolio Optimisation for a Behavioural Investor with Bounded Utility on Gains," Papers 1309.0362, arXiv.org, revised Mar 2014.
  101. Yunhong Li & Zuo Quan Xu & Xun Yu Zhou, 2023. "Robust utility maximization with intractable claims," Papers 2304.06938, arXiv.org, revised Jul 2023.
  102. Vicky Henderson, 2012. "Prospect Theory, Liquidation, and the Disposition Effect," Management Science, INFORMS, vol. 58(2), pages 445-460, February.
  103. Xue Dong He & Moris S. Strub & Thaleia Zariphopoulou, 2021. "Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 683-721, April.
  104. van Bilsen, Servaas & Laeven, Roger J.A., 2020. "Dynamic consumption and portfolio choice under prospect theory," Insurance: Mathematics and Economics, Elsevier, vol. 91(C), pages 224-237.
  105. Shuaijie Qian & Chen Yang, 2023. "Non-Concave Utility Maximization with Transaction Costs," Papers 2307.02178, arXiv.org.
  106. Liurui Deng & Zilan Liu, 2017. "One-period pricing strategy of ‘money doctors’ under cumulative prospect theory," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(2), pages 113-144, August.
  107. Hui Mi & Zuo Quan Xu & Dongfang Yang, 2023. "Optimal Management of DC Pension Plan with Inflation Risk and Tail VaR Constraint," Papers 2309.01936, arXiv.org.
  108. Wang, Suxin & Rong, Ximin & Zhao, Hui, 2019. "Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans," Applied Mathematics and Computation, Elsevier, vol. 346(C), pages 205-218.
  109. Bin Zou & Rudi Zagst, 2015. "Optimal Investment with Transaction Costs under Cumulative Prospect Theory in Discrete Time," Papers 1511.04768, arXiv.org, revised Nov 2016.
  110. Chiu, Mei Choi & Wong, Hoi Ying & Zhao, Jing, 2018. "Dynamic safety first expected utility model," European Journal of Operational Research, Elsevier, vol. 271(1), pages 141-154.
  111. Sigrid Kallblad & Jan Obloj & Thaleia Zariphopoulou, 2013. "Time--consistent investment under model uncertainty: the robust forward criteria," Papers 1311.3529, arXiv.org, revised Nov 2014.
  112. Hongcan Lin & David Saunders & Chengguo Weng, 2019. "Portfolio Optimization With Performance Ratios," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 22(05), pages 1-38, August.
  113. Zongxia Liang & Yang Liu & Litian Zhang, 2021. "A Framework of State-dependent Utility Optimization with General Benchmarks," Papers 2101.06675, arXiv.org, revised Dec 2023.
  114. Shi, Yun & Cui, Xiangyu & Li, Duan, 2015. "Discrete-time behavioral portfolio selection under cumulative prospect theory," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 283-302.
  115. Zongxia Liang & Fengyi Yuan, 2021. "Equilibrium master equations for time-inconsistent problems with distribution dependent rewards," Papers 2112.14462, arXiv.org, revised Apr 2022.
  116. Alain Bensoussan & Abel Cadenillas & Hyeng Keun Koo, 2015. "Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function," Mathematics of Operations Research, INFORMS, vol. 40(4), pages 902-914, October.
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