Relative growth rate optimization under behavioral criterion

• Main Authors: Peng, Jing, Wei, Pengyu, Xu, Zuo Quan
• Other Authors: Nanyang Business School
• Format: Article
• Language: English
• Published: 2024
• Subjects: Business and Management; Behavioral finance; Prospect theory
• Online Access: https://hdl.handle.net/10356/173743
• Institution: Nanyang Technological University

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...