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Special Semester on Stochastics with Emphasis on Finance
Linz, September 2008 - December 2008
Presentation: A Universal Portfolio Choice Model in Continuous Time

Workshop: Kick-off-Workshop

Time: Wed, September 10, 2008, 12:10-13:00

Speaker: Xunyu Zhou

Abstract

A new portfolio choice model in continuous time is formulated and solved, which covers many existing and new models including expected utility maximisation, mean-variance, probability maximisation, Yarri's model, Lopes' SP/A model, and behavioural model under prospect theory.

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