Erratum to 'Behavioral Portfolio Selection in Continuous Time'

6 Pages Posted: 19 Oct 2009 Last revised: 9 Mar 2010

See all articles by Hanqing Jin

Hanqing Jin

Mathematical Institute; Oxford-Nie Financial Big Data Laboratory; St. Peter's College

Xun Yu Zhou

Columbia University - Department of Industrial Engineering and Operations Research (IEOR)

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Date Written: 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 Classification: C61, D81, G11

Suggested Citation

Jin, Hanqing and Zhou, Xunyu, Erratum to 'Behavioral Portfolio Selection in Continuous Time' (October 16, 2009). Available at SSRN: https://ssrn.com/abstract=1489842 or http://dx.doi.org/10.2139/ssrn.1489842

Hanqing Jin (Contact Author)

Mathematical Institute ( email )

Andrew Wiles Building
Radicliff Observatory Quarter, Woodstock Road
Oxford, oxfordshire OX2 6GG
United Kingdom

HOME PAGE: http://www.maths.ox.ac.uk

Oxford-Nie Financial Big Data Laboratory ( email )

Andrew Wiles Building
Woodstock Road
Oxford, Oxfordshire OX2 6GG
United Kingdom

St. Peter's College ( email )

New Inn Hall Street
Oxford, Oxfordshire OX1 2DL
United Kingdom

HOME PAGE: http://www.spc.ox.ac.uk

Xunyu Zhou

Columbia University - Department of Industrial Engineering and Operations Research (IEOR) ( email )

331 S.W. Mudd Building
500 West 120th Street
New York, NY 10027
United States

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