3 search results - page 1 / 1 » Risk Aversion in Cumulative Prospect Theory |
MANSCI
2008
13 years 4 months ago
2008
MANSCI
2006
13 years 4 months ago
2006
Second order stochastic dominance characterizes risk-averse preferences represented by expected utility. This paper supplies second order stochastic dominance conditions that char...
CDC
2008
IEEE
13 years 11 months ago
2008
IEEE
This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S-shaped...