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ERRATUM TO “BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME” |
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| Authors: | Hanqing Jin Xun Yu Zhou |
| Institution: | Mathematical Institute and Nomura Centre for Mathematical Finance, University of Oxford |
| Abstract: | We fill a gap in the proof of a (rather critical) lemma, Lemma B.1, in Jin and Zhou (2008: Math. Finance 18, 385–426). We also correct a couple of other minor errors in the same paper. |
| Keywords: | portfolio selection continuous time cumulative prospect theory behavioral criterion S‐shaped function probability distortion |