Residential College | false |
Status | 已發表Published |
Stochastic Maximum Principle Under Probability Distortion | |
Liang, Qizhu1; Xiong, Jie2 | |
2021-07 | |
Source Publication | APPLIED MATHEMATICS AND OPTIMIZATION |
ISSN | 0095-4616 |
Volume | 83Issue:3Pages:2109 - 2128 |
Abstract | Within the framework of the cumulative prospective theory of Kahneman and Tversky, this paper considers a continuous-time behavioral portfolio selection problem whose model includes both running and terminal terms in the objective functional. Despite the existence of S-shaped utility functions and probability distortions, a necessary condition for the optimality is derived. The results are applied to a few examples. |
Keyword | Behavioral Portfolio Optimization Cumulative Prospective Theory Stochastic Maximum Principle Probability Distortion S-shaped Utility Function |
DOI | 10.1007/s00245-019-09621-x |
URL | View the original |
Indexed By | SCIE |
Language | 英語English |
WOS Research Area | Mathematics |
WOS Subject | Mathematics, Applied |
WOS ID | WOS:000575417000001 |
Publisher | SPRINGER, ONE NEW YORK PLAZA, SUITE 4600 , NEW YORK, NY 10004, UNITED STATES |
Scopus ID | 2-s2.0-85074025298 |
Fulltext Access | |
Citation statistics | |
Document Type | Journal article |
Collection | DEPARTMENT OF MATHEMATICS Faculty of Science and Technology |
Corresponding Author | Xiong, Jie |
Affiliation | 1.Department of Mathematics, University of Macau, Macao 2.Department of Mathematics and SUSTech International Center for Mathematics, Southern University of Science and Technology, Shenzhen, 518055, China |
First Author Affilication | University of Macau |
Recommended Citation GB/T 7714 | Liang, Qizhu,Xiong, Jie. Stochastic Maximum Principle Under Probability Distortion[J]. APPLIED MATHEMATICS AND OPTIMIZATION, 2021, 83(3), 2109 - 2128. |
APA | Liang, Qizhu., & Xiong, Jie (2021). Stochastic Maximum Principle Under Probability Distortion. APPLIED MATHEMATICS AND OPTIMIZATION, 83(3), 2109 - 2128. |
MLA | Liang, Qizhu,et al."Stochastic Maximum Principle Under Probability Distortion".APPLIED MATHEMATICS AND OPTIMIZATION 83.3(2021):2109 - 2128. |
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