摘要翻译：
本文在Kahneman和Tversky的累积前景理论下，建立并研究了一个具有S型效用函数和概率失真的一般连续时间行为证券组合选择模型。与传统的期望效用最大化模型不同，这种行为模型如果不同的组成部分之间不能很好地相互协调，就很容易被错误描述（也就是不适定）。识别了不适定模型的某些类别。本文提出了一种系统方法，它与本实用新型所采用的方法有根本的不同，它是用来求解一个适定模型的，假定资产价格是一个完全的市场和一般的IT过程。最优最终财富头寸以相当明确的形式导出，具有令人惊讶的简单结构，让人想起一种赌博策略，即押注于一个好的世界状态，同时在一个坏的世界状态下接受一个固定的、已知的损失。给出了一个两件CRRA实用程序的例子来说明所得到的一般结果，并对所有容许参数进行了完全求解。最后讨论了行为准则对风险配置的影响。
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英文标题：
《Behavioral Portfolio Selection in Continuous Time》
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作者：
Hanqing Jin, Xunyu Zhou
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最新提交年份：
2007
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics        数学
二级分类：Optimization and Control        优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Mathematics        数学
二级分类：Probability        概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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英文摘要：
  This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S-shaped utility (value) functions and probability distortions. Unlike the conventional expected utility maximization model, such a behavioral model could be easily mis-formulated (a.k.a. ill-posed) if its different components do not coordinate well with each other. Certain classes of an ill-posed model are identified. A systematic approach, which is fundamentally different from the ones employed for the utility model, is developed to solve a well-posed model, assuming a complete market and general It\^o processes for asset prices. The optimal terminal wealth positions, derived in fairly explicit forms, possess surprisingly simple structure reminiscent of a gambling policy betting on a good state of the world while accepting a fixed, known loss in case of a bad one. An example with a two-piece CRRA utility is presented to illustrate the general results obtained, and is solved completely for all admissible parameters. The effect of the behavioral criterion on the risky allocations is finally discussed.
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PDF链接：
https://arxiv.org/pdf/0709.2830