Optimal financial investments for non-concave utility functions
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References listed on IDEAS
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
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"Prospect Theory: An Analysis of Decision under Risk,"
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- Stanley R. Pliska, 1984. "A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios," Discussion Papers 608, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
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- Kenneth J. Arrow, 1974. "The Use of Unbounded Utility Functions in Expected-Utility Maximization: Response," The Quarterly Journal of Economics, Oxford University Press, vol. 88(1), pages 136-138.
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- Thorsten Hens & Marc Oliver Rieger, 2014. "Can utility optimization explain the demand for structured investment products?," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 673-681, April.
More about this item
KeywordsOptimal investments; Non-concave utility function; Prospect theory;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D03 - Microeconomics - - General - - - Behavioral Microeconomics: Underlying Principles
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