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Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models
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Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models (2015)Maximization of Nonconcave Utility Functi…Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment (2010)Portfolio Choice Under Cumula…BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME (2008)BEHAVIORAL PORTFOLIO SELECTIO…Optimal Portfolio Choice under Loss Aversion (2004)Optimal Portfolio Choice unde…Stochastic Finance: An Introduction in Discrete Time (2002)Stochastic Finance: An Introd…Stochastic Finance (2002)Stochastic FinanceThe asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12 (1996)HEDGING AND PORTFOLIO OPTIMIZ…Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …Martingale and Duality Methods for Utility Maximization in an Incomplete Market (1991)Martingale and Duality Method…Equivalent martingale measures and no-arbitrage in stochastic securities market models (1990)Equivalent martingale measure…Prospect theory: An analysis of decision under risk (1988)Prospect theory: An analysis …Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine (1953)Le Comportement de l'Homme Ra…On utility maximization under model uncertainty in discrete‐time markets (2020)On utility maximization under…Optimum consumption and portfolio rules in a continuous-time model (1971)Exponential Hedging and Entropic Penalties (2002)Arbitrage Theory in Continuous Time (2004)Utility maximization in incomplete markets (2005)Brownian Motion and Stochastic Calculus (2007)Aspects of the Theory of Risk-Bearing. (1966)An Intertemporal Capital Asset Pricing Model (1973)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Martingales and arbitrage in multiperiod securities markets (1979)Dynamic Asset Pricing Theory. (1993)Backward Stochastic Differential Equations in Finance (1997)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2006)Judgment under Uncertainty: Heuristics and Biases (1975)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)A Theory of the Term Structure of Interest Rates (1985)Risk, Ambiguity, and the Savage Axioms (1961)The Framing of Decisions and the Psychology of Choice (1981)Exploration and Exploitation in Organizational Learning (1991)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)Theory of games and economic behavior (2019)Convex measures of risk and trading constraints (2002)Generalized deviations in risk analysis (2005)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Consumption, Income, and Interest Rates: Reinterpreting the Time Series Evidence (1989)Myopic Loss Aversion and the Equity Premium Puzzle (1993)
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References

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  • 1953Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine4,117 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
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  • 1990Equivalent martingale measures and no-arbitrage in stochastic securities market models421 cited
  • 2004Optimal Portfolio Choice under Loss Aversion413 cited
  • 1996HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH12317 cited
  • 2008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME316 cited
  • 2010

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Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
284 cited
  • 2002Stochastic Finance251 cited
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    • 2020On utility maximization under model uncertainty in discrete‐time markets15 cited