In this paper we study the portfolio selection problem under cumulative prospect theory (CPT), both from a theoretical and empirical point of view. Our aim is twofold. First, we study through a simulation-based procedure, the implication of higher-moments and CPT parameters on Mean/Risk...

In the present paper we develop an asymptotic expansion method for a suitable class of stochastic differential equation, using methods by S. Watanabe (1987) (see also Ikeda and Watanabe (1989) and Lutkebohmert (2004)). Such asymptotic expansion is calculated around the multidimensional...

Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance prices have been studied widely in the literature. In particular, Pareto optimal allocations have been characterized by applying inf-convolution of risk measures and convex...

In this paper we study a spatially structured economic growth model on a finite network in the presence of a Wiener noise acting on the system. We consider an extension of the Solow’s model under the assumption of Lipschitz type for the production function and uniform boundedness of the...