Optimal financial investments for non-concave utility functions
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DOI: 10.1016/j.econlet.2011.10.029
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Cited by:
- Armstrong, John & Brigo, Damiano, 2019. "Risk managing tail-risk seekers: VaR and expected shortfall vs S-shaped utility," Journal of Banking & Finance, Elsevier, vol. 101(C), pages 122-135.
- Alin OPREANA, 2014. "Investment Modelling at the Euro Area Level," Expert Journal of Finance, Sprint Investify, vol. 2(1), pages 26-30.
- Thorsten Hens & Marc Oliver Rieger, 2014. "Can utility optimization explain the demand for structured investment products?," Quantitative Finance, Taylor & Francis Journals, vol. 14(4), pages 673-681, April.
- Christian Dehm & Thai Nguyen & Mitja Stadje, 2020. "Non-concave expected utility optimization with uncertain time horizon," Papers 2005.13831, arXiv.org, revised Oct 2021.
- Zongxia Liang & Yang Liu & Litian Zhang, 2021. "A Framework of State-dependent Utility Optimization with General Benchmarks," Papers 2101.06675, arXiv.org, revised Dec 2023.
- Alain Bensoussan & Abel Cadenillas & Hyeng Keun Koo, 2015. "Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function," Mathematics of Operations Research, INFORMS, vol. 40(4), pages 902-914, October.
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More about this item
Keywords
Optimal investments; Non-concave utility function; Prospect theory;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D03 - Microeconomics - - General - - - Behavioral Microeconomics: Underlying Principles
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