Mathematicalising Behavioural Finance
Mathematicalising Behavioural Finance
复制标题
行为金融学数学化
DOI：
10.1142/9789814324359_0185
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发表时间：
2011
影响因子：
1.5
通讯作者：
X. Zhou
中科院分区：
文献类型：
--
作者：
X. Zhou
本文概述了行为金融学数学处理的最新进展，主要是在累积前景理论下的连续时间投资组合选择的背景下。突出了该问题的财务动机和数学挑战。事实证明，问题的解决方案反过来又导致了新的金融和数学问题和机制。
This article presents an overview of the recent development on mathematical treatment of behavioural finance, primarily in the setting of continuous-time portfolio choice under the cumulative prospect theory. Financial motivations and mathematical challenges of the problem are highlighted. It is demonstrated that the solutions to the problem have in turn led to new financial and mathematical problems and machineries.