Static Portfolio Choice under Cumulative Prospect Theory
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More about this item
Keywords
Cumulative Prospect Theory; Portfolio Choice; Behavioral Finance; Omega Measure.;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-UPT-2009-06-17 (Utility Models & Prospect Theory)
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