In this paper we formulate a continuous-time behavioral (a la cumulative prospect theory) portfolio selection model where the losses are constrained by a pre-specified upper bound. Economically the model is motivated by the previously proved fact that the losses occurring in a bad state of the...

In trading stocks investors naturally aspire to "buy low and sell high (BLSH)". This paper formalizes the notion of BLSH by formulating stock buying/selling in terms of four optimal stopping problems involving the global maximum and minimum of the stock prices over a given investment horizon....