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Thesis

Behavioral optimal consumption and portfolio selection in continuous time

Abstract:

This thesis mainly concerns a continuous-time behavioral consumption model under Kahneman and Tversky’s cumulative prospect theory. Mathematically this is a non- concave maximization problem because of the presence of an S-shaped functional and the presence of so-called probability distortions. By using a quantile method and divide-and-conquer scheme, we solve the problem quite explicitly and the optimal consumption is in general characterized in two parts: the agent has rich consumption a...

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Institution:
University of Oxford
Division:
MPLS
Department:
Mathematical Institute
Oxford college:
St Hugh's College
Role:
Author

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Role:
Supervisor
Publication date:
2013
Type of award:
MSc by Research
Level of award:
Masters
Awarding institution:
Oxford University, UK
Language:
English
Keywords:
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UUID:
uuid:11336b8d-e15e-4920-b361-c9502ab60f79
Local pid:
ora:7265
Deposit date:
2013-09-09

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