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Hope, fear, and aspirations

Abstract:

We propose a rank-dependent portfolio choice model in continuous time that captures the role in decision making of three emotions: hope, fear, and aspirations. Hope and fear are modeled through an inverse-S shaped probability weighting function and aspirations through a probabilistic constraint. By employing the recently developed approach of quantile formulation, we solve the portfolio choice problem both thoroughly and analytically. These solutions motivate us to introduce a fear index, a h...

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Publication status:
In press
Peer review status:
Peer reviewed

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Publisher copy:
10.1111/mafi.12044

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Role:
Author
Publisher:
Wiley
Journal:
Mathematical Finance More from this journal
Pages:
n/a-n/a
Publication date:
2013-01-01
DOI:
EISSN:
1467-9965
ISSN:
0960-1627
Language:
English
Keywords:
UUID:
uuid:0981a518-bae7-4f98-92d1-4d5cc8bd9401
Local pid:
pubs:410010
Source identifiers:
410010
Deposit date:
2013-11-17

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