BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
Author:
Publisher
Wiley
Subject
Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting
Link
http://onlinelibrary.wiley.com/wol1/doi/10.1111/j.1467-9965.2008.00339.x/fullpdf
Reference28 articles.
1. Le comportement de l'homme rationnel devant le risque, critique des postulats et axiomes de l'ecole americaine;Allais;Econometrica,1953
2. Pessimistic Portfolio Allocation and Choquet Expected Utility;Bassett;J. Finance Econ,2004
3. Myopic Loss Aversion and the Equity Premium Puzzle;Benartzi;Quart. J. Econ,1995
4. Optimal Portfolio Choice under Loss Aversion;Berkelaar;Rev. Econ. Stat,2004
5. Continuous-Time MeanVariance Portfolio Selection with Bankruptcy Prohibition;Bielecki;Math. Finance,2005
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