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This paper quantifies the notion of greed, and explores its connection with leverage and potential losses, in the context of a continuous-time behavioral portfolio choice model under (cumulative) prospect theory. We argue that the reference point can serve as the critical parameter in defining...
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In this paper, we formulate a general time-inconsistent stochastic linear--quadratic (LQ) control problem. The time-inconsistency arises from the presence of a quadratic term of the expected state as well as a state-dependent term in the objective functional. We define an equilibrium, instead of...
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