BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
This paper formulates and studies a general continuousâtime behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring Sâshaped utility (value) functions and probability distortions. Unlike the conventional expected utility maximization model, such a behavioral model could be easily misâformulated (a.k.a. illâposed) if its different components do not âŚ