The Optimal Portfolio Selection Model under g-Expectation
This paper solves the optimal portfolio selection model under the framework of the prospect theory proposed by Kahneman and Tversky in the 1970s with decision rule replaced by the g-expectation introduced by Peng. This model was established in the general continuous time setting and firstly adopted...
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| Main Author: | |
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| Format: | Article |
| Language: | English |
| Published: |
Wiley
2014-01-01
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| Series: | Abstract and Applied Analysis |
| Online Access: | http://dx.doi.org/10.1155/2014/426036 |
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