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Stochastic Maximum Principle Under Probability Distortion
Liang, Qizhu1; Xiong, Jie2
2021-07
Source PublicationAPPLIED MATHEMATICS AND OPTIMIZATION
ISSN0095-4616
Volume83Issue: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.

KeywordBehavioral Portfolio Optimization Cumulative Prospective Theory Stochastic Maximum Principle Probability Distortion S-shaped Utility Function
DOI10.1007/s00245-019-09621-x
URLView the original
Indexed BySCIE
Language英語English
WOS Research AreaMathematics
WOS SubjectMathematics, Applied
WOS IDWOS:000575417000001
PublisherSPRINGER, ONE NEW YORK PLAZA, SUITE 4600 , NEW YORK, NY 10004, UNITED STATES
Scopus ID2-s2.0-85074025298
Fulltext Access
Citation statistics
Document TypeJournal article
CollectionDEPARTMENT OF MATHEMATICS
Faculty of Science and Technology
Corresponding AuthorXiong, Jie
Affiliation1.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 AffilicationUniversity 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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