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20142023
most citedMean-Variance Investment and Risk Control Strategies -- A Time-Consistent Approach via A Forward Auxiliary Process

5 citations · 17 across the 13 of their papers we have counts for

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q-fin.PM2015

Optimal Investment with Transaction Costs under Cumulative Prospect Theory in Discrete Time

Bin Zou, Rudi Zagst

We study optimal investment problems under the framework of cumulative prospect theory (CPT). A CPT investor makes investment decisions in a single-period financial market with tra…