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CI
2007
88views more  CI 2007»
14 years 9 months ago
From Discrete-Time Models to Continuous-Time, Asynchronous Modeling of Financial Markets
Katalin Boer, Uzay Kaymak, Jaap Spiering
CDC
2008
IEEE
186views Control Systems» more  CDC 2008»
15 years 4 months ago
Continuous-time behavioral portfolio selection
This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S-shaped...
Hanqing Jin, Xun Yu Zhou