This paper studies the optimal investment problem for a behavioral investor with probability distortion functions and an S-shaped utility function whose utility on gains satisfies the Inada condition at infinity, albeit not necessarily at zero, in a complete continuous-time financial market...

This paper introduces the concept of multivariate utility, or multiple risk aversions utility. This is a utility with the flexibility to attach different risk aversion levels to different sources of wealth (e.g. sectors, stocks, asset classes). In this context, we address the topic of...