BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS-Reference-Cited by-同舟云学术

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BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS

Published:2013-10-11 Issue:1 Volume:26 Page:51-85
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Reichlin Christian¹

Affiliation:

1. Department of Mathematics, ETH Zurich, and Department of Banking and Finance; University of Zurich

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12053/fullpdf

Reference43 articles.

1. Static Portfolio Choice under Cumulative Prospect Theory;Bernard;Math. Financ. Econ.,2010

2. Optimal Insurance Design under Rank Dependent Utility;Bernard;Math. Finance,2015

3. Expected Utility Maximization: Duality Methods;Biagini,2010

4. Bichuch , M. S. Sturm 2011 Portfolio Optimization under Convex Incentive Schemes Princeton University http://arxiv.org/abs/1109.2945

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1. Continuity of utility maximization under weak convergence;Mathematics and Financial Economics;2020-07-08

2. Convergence of optimal expected utility for a sequence of discrete‐time markets;Mathematical Finance;2020-06-16

3. Nonconcave robust optimization with discrete strategies under Knightian uncertainty;Mathematical Methods of Operations Research;2019-05-03

4. Continuity of Utility Maximization under Weak Convergence;SSRN Electronic Journal;2018

5. Non-Concave Utility Maximization with a Given Pricing Measure;SSRN Electronic Journal;2012

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