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ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS
16 references·3 citing·28 second hop
ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS (2013)ON OPTIMAL INVESTMENT FOR A BEHAVIORAL IN…Theory of games and economic behavior (2019)Theory of games and economic …Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment (2010)Portfolio Choice Under Cumula…BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME (2008)BEHAVIORAL PORTFOLIO SELECTIO…Stochastic Integration and Differential Equations (2005)Stochastic Integration and Di…Optimal Portfolio Choice under Loss Aversion (2004)Optimal Portfolio Choice unde…Stochastic Finance (2002)Stochastic FinanceOptimal investment in incomplete markets when wealth may become negative (2001)Optimal investment in incompl…The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)The asymptotic elasticity of …Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …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 …MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)MULTI-DIMENSIONAL DIFFUSION P…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …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…Non-Cooperative Games (1951)Non-Cooperative GamesZur Theorie der Gesellschaftsspiele (1928)Zur Theorie der Gesellschafts…Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility (2019)Risk managing tail-risk seeke…Family optimal investment strategy for a random household expenditure under the CEV model (2019)Family optimal investment str…Optimal portfolio choice for a behavioural investor in continuous-time markets (2012)Optimal portfolio choice for …Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)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)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)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)Modeling Term Structures of Defaultable Bonds (1999)Transform Analysis and Asset Pricing for Affine Jump-diffusions (2000)The distribution of realized stock return volatility (2001)A Social Equilibrium Existence Theorem* (1952)Evolutionary games on graphs (2007)Multiagent systems: algorithmic, game-theoretic, and logical foundations (2009)Toward a positive theory of consumer choice (1980)Non-cooperative games (1989)ARCH models as diffusion approximations (1990)Chapter 49 Arch models (1994)5 Stochastic volatility (1996)Subjectivity and correlation in randomized strategies (1974)Covenants with and without a Sword: Self-Governance Is Possible (1992)A theory of sequential reciprocity (2003)
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References

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  • 2019Theory of games and economic behavior16,630 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1951Non-Cooperative Games6,999 cited
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  • 1953Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine4,117 cited
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  • 2008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME316 cited
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  • 2002Stochastic Finance251 cited
  • 2001

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Optimal investment in incomplete markets when wealth may become negative
246 cited

Cited by

  • 2019Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility32 cited
  • 2019Family optimal investment strategy for a random household expenditure under the CEV model31 cited
  • 2012Optimal portfolio choice for a behavioural investor in continuous-time markets24 cited