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Erratum to 'Behavioral Portfolio Selection in Continuous Time'

Hanqing Jin
Mathematical Institute; Oxford-Man Institute of Quantitative Finance; St Peter's College

Xun Yu Zhou
Nomura Centre for Mathematical Finance, University of Oxford

October 16, 2009

Abstract:
We fill a gap in the proof of a (rather critical) lemma, Lemma B.1, in Jin and Zhou (Mathematical Finance, Vol. 18 (2008), pp. 385–426). We also correct a couple of other minor errors in the same paper.

Keywords: portfolio selection, continuous time, cumulative prospect theory, behavioral criterion, S-shaped function, probability distortion

JEL Classifications: C61, D81, G11

Working Paper Series

Date posted: October 19, 2009 ; Last revised: November 24, 2009

Suggested Citation

Jin, Hanqing and Zhou, Xun Yu, Erratum to 'Behavioral Portfolio Selection in Continuous Time' (October 16, 2009). Available at SSRN: http://ssrn.com/abstract=1489842

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Contact Information

Hanqing Jin (Contact Author) Mathematical Institute ( email ) 24--29 St Giles' Walton Well Raod Oxford, oxfordshire OX1 3LB United Kingdom HOME PAGE: http://www.maths.ox.ac.uk
Oxford-Man Institute of Quantitative Finance ( email ) Eagle House Walton Well Raod Oxford, Oxfordshire OX2 6ED United Kingdom
St Peter's College ( email ) New Inn Hall Street Oxford OX1 2DL United Kingdom HOME PAGE: http://www.spc.ox.ac.uk
Xunyu Zhou Nomura Centre for Mathematical Finance, University of Oxford ( email ) 24-29 St Giles Oxford Ox1 3LB United Kingdom

Abstract

Citations (1)

Date posted: October 19, 2009 ; Last revised: November 24, 2009

Suggested Citation

Contact Information

Hanqing Jin (Contact Author)

Xunyu Zhou