Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment

By Xue Dong He, Xun Yu Zhou. Management Sciences, 2011

300 citations recorded by the source corpus.

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ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES (2016, unknown): “In He and Zhou (2011b), the market is allowed to be incomplete. we assume the probability weighting function to have a particular shape.”
Prospect theory for continuous distributions: A preference foundation (2011, background): “References applying prospect theory with nonlinear probability weighting to continuous distributions, often lognormal and, hence, unbounded, include Barberis and Huang (2008), Barberis and Xiong (2009), Bernard and Ghossoub (2009), Carlier and Dana (2011), He and Zhou (2010) , Henderson (2010), Kan”
Mean–variance target-based optimisation for defined contribution pension schemes in a stochastic framework (2017, methodology): “…in decision making, the benchmark tracking has been widely used in portfolio selection1 and 1See, among many others, Gaivoronski et al. (2005), He and Zhou (2011) and Jin and Zhou (2013). pension funds optimisation.2 With this interpretation in mind, the difficult task of selecting a proper…”
Psychology-based Models of Asset Prices and Trading Volume (2018, methodology): “Using a model of He and Zhou (2011), they show that prospect theory can capture this behavior.”