Stochastic optimization problems arise in decision-making problems under uncertainty, and
find various applications in economics and finance. On the other hand, problems in finance …

During the seven years that elapsed between the first and second editions of the present
book, considerable progress was achieved in the area of financial modelling and pricing of …

We formulate and carry out an analytical treatment of a single-period portfolio choice model
featuring a reference point in wealth, S-shaped utility (value) functions with loss aversion …

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 …

In this paper, we consider a network whose route travel times are considered to be random
variables. In this scenario travellers choose their route, uncertain of the travel time they will …

We derive the optimal portfolio choice for an investor who behaves according to Cumulative
Prospect Theory (CPT). The study is done in a one-period economy with one risk-free asset …

A portfolio choice model in continuous time is formulated for both complete and incomplete
markets, where the quantile function of the terminal cash flow, instead of the cash flow itself …

There is a well-known intuition linking prospect theory with the disposition effect, the
tendency of investors to sell assets that have risen in value rather than fallen. Recently …

An investor holding a stock needs to decide when to sell it over a given investment horizon.
It is tempting to think that she should sell at the maximum price over the entire horizon, which …

We consider an optimal insurance design problem for an individual whose preferences are
dictated by the rank‐dependent expected utility (RDEU) theory with a concave utility function …