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Stochastic Maximum Principle Under Probability Distortion
Journal article
Liang, Qizhu, Xiong, Jie. Stochastic Maximum Principle Under Probability Distortion[J]. APPLIED MATHEMATICS AND OPTIMIZATION, 2021, 83(3), 2109 - 2128.
Authors:
Liang, Qizhu
;
Xiong, Jie
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Submit date：2021/12/08
Behavioral Portfolio Optimization
Cumulative Prospective Theory
Stochastic Maximum Principle
Probability Distortion
S-shaped Utility Function
