Erratum to 'Behavioral Portfolio Selection in Continuous Time'
6 Pages Posted: 19 Oct 2009 Last revised: 9 Mar 2010
Date Written: October 16, 2009
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: Suggested Citation