199
Views
0
CrossRef citations to date
0
Altmetric
Articles

Behavioral mean-risk portfolio selection in continuous time via quantile

& ORCID Icon
Pages 4904-4933 | Received 29 Jan 2021, Accepted 03 Oct 2021, Published online: 19 Oct 2021

References

  • Ababio, K. A. 2020. Behavioural portfolio selection and optimisation: Equities versus cryptocurrencies. Journal of African Business 21 (2):145–68. doi:10.1080/15228916.2019.1625018.
  • Bi, J., H. Jin, and Q. Meng. 2018. Behavioral mean-variance portfolio selection. European Journal of Operational Research 271 (2):644–63. doi:10.1016/j.ejor.2018.05.065.
  • Bi, J., Y. Zhong, and X. Zhou. 2013. Mean-semivariance portfolio selection under probability distortion. Stochastics 85 (4):604–19. doi:10.1080/17442508.2013.797425.
  • Bielecki, T. R., H. Jin, S. R. Pliska, and X. Y. Zhou. 2005. Continuous-time mean-variance portfolio selection with bankrutcy probihition. Mathematical Finance 15 (2):213–44. doi:10.1111/j.0960-1627.2005.00218.x.
  • El Karoui, N., S. Peng, and M. C. Quenez. 1997. Backward stochastic differential equations in finance. Mathematical Finance 7 (1):1–71. doi:10.1111/1467-9965.00022.
  • Gomes, F. J. 2005. Portfolio choice and trading volume with loss-averse investors. The Journal of Business 78 (2):675–706. doi:10.1086/427643.
  • He, X., M. S. Strub, and T. Zariphopoulou. 2021. Forward rank-dependent performance criteria: Time-consistent investment under probability distortion. Mathematical Finance 31 (2):683–721. doi:10.1111/mafi.12298.
  • He, X. D., and X. Y. Zhou. 2011. Portfolio choice via quantiles. Mathematical Finance 21 (2):203–31.
  • Huang, Y. J., A. Nguyen-Huu, and X. Y. Zhou. 2020. General stopping behaviors of naive and noncommitted sophisticated agents, with application to probability distortion. Mathematical Finance 30 (1):310–40. doi:10.1111/mafi.12224.
  • Jin, H., and X. Y. Zhou. 2008. Behavioral portfolio selection in continuous time. Mathematical Finance 18 (3):385–426. doi:10.1111/j.1467-9965.2008.00339.x.
  • Kahneman, D., and A. Tversky. 1979. Prospect theory: An analysis of decision under risk. Econometrica 47 (2):263–91. doi:10.2307/1914185.
  • Lefebvre, W., G. Loeper, and H. Pham. 2020. Mean-variance portfolio selection with tracking error penalization. Mathematics 8 (11):1915. doi:10.3390/math8111915.
  • Levy, H., and M. Levy. 2004. Prospect theory and mean-variance analysis. Review of Financial Studies 17 (4):1015–41. doi:10.1093/rfs/hhg062.
  • Li, X., X. Y. Zhou, and A. E. B. Lim. 2002. Dynamic mean-variance portfolio selection with no-shorting constraints. SIAM Journal on Control and Optimization 40 (5):1540–55. doi:10.1137/S0363012900378504.
  • Li, Z., Y. Zeng, and Y. Lai. 2012. Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model. Insurance: Mathematics and Economics 51 (1):191–203. doi:10.1016/j.insmatheco.2011.09.002.
  • Liang, Q. Z., and J. Xiong. 2021. Stochastic maximum principle under probability distortion. Applied Mathematics & Optimization 83 (3):2109–28. doi:10.1007/s00245-019-09621-x.
  • Lopes, L. L. 1987. Between hope and fear: The psychology of risk. Advances in Experimental Social Psychology 20:255–95.
  • Lopes, L. L., and G. C. Oden. 1999. The role of aspiration level in risky choice: A comparison of cumulative prospect theory and SP/A theory. Journal of Mathematical Psychology 43 (2):286–313. doi:10.1006/jmps.1999.1259.
  • Markowitz, H. 1952. Portfolio selection. The Journal of Finance 7 (1):77–91. doi:10.2307/2975974.
  • Merton, R. C. 1972. An analytical derivation of the efficient portfolio frontier. The Journal of Financial and Quantitative Analysis 7 (4):1851–72. doi:10.2307/2329621.
  • Peng, X. C., and F. E. Chen. 2020. Mean-variance asset-liability management with inside information. Communications in Statistics-Theory and Methods. Advance online publication. doi:10.1080/03610926.2020.1772982.
  • Pliska, S. R. 1982. A discrete time stochastic decision model. In Advances in filtering and optimal stochastic control. Lecture notes in control and information sciences, eds. W. H. Fleming and L. G. Gorostiza, vol. 42, 290–304. Berlin, Heidelberg: Springer.
  • Pliska, S. R. 1986. A stochastic calculas model of continuous trading: Optimal portfolios. Mathematics of Operations Research 11 (2):371–84. doi:10.1287/moor.11.2.371.
  • Sadeghi, F., F. Yousefzadeh, and M. Chahkandi. 2019. Some new stochastic orders based on quantile function. Communications in Statistics – Theory and Methods 48 (4):942–53. doi:10.1080/03610926.2017.1422757.
  • Tang, S., Z. Cai, Y. Fang, and M. Lin. 2021. A new quantile treatment effect model for studying smoking effect on birth weight during mother’s pregnancy. Journal of Management Science and Engineering. Advance online publication. doi:10.1016/j.jmse.2021.06.005.
  • Tversky, A., and D. Kahneman. 1992. Advances in prospect theory: Cumulative representation of uncertainty. Journal of Risk and Uncertainty 5 (4):297–323. doi:10.1007/BF00122574.
  • Wang, X., and J. Xia. 2021. Expected utility maximization with stochastic dominance constraints in complete markets. SIAM Journal on Financial Mathematics 12 (3):1054–111. doi:10.1137/20M1338447.
  • Yaari, M. E. 1987. The dual theory of choice under risk. Econometrica 55 (1):95–115. doi:10.2307/1911158.
  • Zeng, Y., and Z. Li. 2011. Optimal time-consistent investment and reinsurance policies for mean-variance insurers. Insurance: Mathematics and Economics 49 (1):145–54. doi:10.1016/j.insmatheco.2011.01.001.
  • Zeng, Y., D. Li, and A. Gu. 2016. Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps. Insurance: Mathematics and Economics 66:138–52. doi:10.1016/j.insmatheco.2015.10.012.
  • Zeng, Y., Z. Li, and Y. Lai. 2013. Time-consistent investment and reinsurance strategies for mean-variance insurers with jumps. Insurance: Mathematics and Economics 52 (3):498–507. doi:10.1016/j.insmatheco.2013.02.007.
  • Zhao, Q., and J. Q. Wei. 2020. Open-loop equilibrium strategy for mean-variance asset-liability management with margin requirements. Communications in Statistics-Theory and Methods. Advance online publication. doi:10.1080/03610926.2020.1812656.
  • Zhou, X. Y., and D. Li. 2000. Continuous-time mean-variance portfolio selection: A stochastic LQ framework. Applied Mathematics and Optimization 42 (1):19–33. doi:10.1007/s002450010003.
  • Zhou, Z.,. T. Ren, H. Xiao, and W. Liu. 2019. Time-consistent investment and reinsurance strategies for insurers under multi-period mean-variance formulation with generalized correlated returns. Journal of Management Science and Engineering 4 (2):142–57. doi:10.1016/j.jmse.2019.05.003.

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.