英文标题：
《Stochastic maximum principle under probability distortion》
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作者：
Qizhu Liang and Jie Xiong
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最新提交年份：
2018
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英文摘要：
Within the framework of the cumulative prospective theory of Kahneman and Tversky, this paper considers a continuous-time behavioral portfolio selection problem whose model includes both running and terminal terms in the objective functional. Despite the existence of S-shaped utility functions and probability distortions, a necessary condition for optimality is derived. The results are applied to various examples.
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中文摘要：
在Kahneman和Tversky的累积前瞻理论框架下，本文考虑了一个连续时间行为投资组合选择问题，该问题的模型在目标函数中同时包含运行项和终端项。尽管存在S型效用函数和概率扭曲，但导出了最优性的必要条件。结果被应用到各种例子中。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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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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