2019 | OriginalPaper | Chapter
Stochastic Maximum Principle on a Continuous-Time Behavioral Portfolio Model
Authors : Qizhu Liang, Jie Xiong
Published in: 2017 MATRIX Annals
Publisher: Springer International Publishing
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In this short note, we consider the optimization problem with probability distortion when the objective functional involves a running term which is given by an S-shaped function. A stochastic maximum principle is presented.