118 citations · 174 across the 10 of their papers we have counts for
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q-fin.PM2007★ 118 cited
A Convex Stochastic Optimization Problem Arising from Portfolio Selection
Hanqing Jin, Zuo Quan Xu, Xun Yu Zhou
A continuous-time financial portfolio selection model with expected utility maximization typically boils down to solving a (static) convex stochastic optimization problem in terms…
q-fin.PM2007
Behavioral Portfolio Selection in Continuous Time
Hanqing Jin, Xunyu Zhou
This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S-shaped utili…