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Document type:
Zeitschriftenaufsatz 
Author(s):
Zagst, R; Zou, B. 
Title:
Optimal investment with transaction costs under cumulative prospect theory in discrete time 
Abstract:
We study optimal investment problems with transaction costs under Kahneman and Tversky's cumulative prospective theory (CPT). A CPT investor makes investment decisions in a single-period discrete time financial market consisting of one risk-free asset and one risky asset, in which trading the risky asset incurs proportional costs. The objective is to seek the optimal investment to maximize the prospect value of the investor's final wealth. We have obtained explicit optimal investment to this...    »
 
Journal title:
Mathematics and Financial Economics 
Year:
2017 
Journal volume:
11 
Journal issue:
Pages contribution:
393-421 
Reviewed:
ja 
Language:
en 
Status:
Postprint / reviewed 
TUM Institution:
Lehrstuhl für Finanzmathematik 
Format:
Text