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Title:

Optimal investment with transaction costs under cumulative prospect theory in discrete time

Document type:
Zeitschriftenaufsatz
Author(s):
Zagst, R; Zou, B.
Non-TUM Co-author(s):
ja
Cooperation:
international
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 p...     »
Intellectual Contribution:
Discipline-based Research
Journal title:
Mathematics and Financial Economics
Year:
2017
Journal volume:
11
Journal issue:
4
Pages contribution:
393-421
Reviewed:
ja
Language:
en
Fulltext / DOI:
doi:10.1007/s11579-017-0186-z
Status:
Postprint / reviewed
TUM Institution:
Lehrstuhl für Finanzmathematik
Format:
Text
Judgement review:
0
Peer reviewed:
Ja
Commissioned:
not commissioned
Interdisciplinarity:
Nein
Mission statement:
;
Ethics and Sustainability:
Nein
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