Relative growth rate optimization under behavioral criterion
This paper studies a continuous-time optimal portfolio selection problem in a complete market for a behavioral investor whose preference is of the prospect type with probability distortion. The investor is concerned with the terminal relative growth rate (log-return) instead of absolute capital valu...
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| Main Authors: | , , |
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| 其他作者: | |
| 格式: | Article |
| 語言: | English |
| 出版: |
2024
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| 主題: | |
| 在線閱讀: | https://hdl.handle.net/10356/173743 |
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| 機構: | Nanyang Technological University |
| 語言: | English |