References

• Arrow, Kenneth J. Alternative approaches to the theory of choice in risk-taking situtations. Econometrica 19, (1951). 404--437. MR0046020
• Arrow, Kenneth J. Essays in the theory of risk-bearing. North-Holland Publishing Co., Amsterdam-London, 1970. vii+278 pp. MR0363427
• Arrow, Kenneth J. The use of unbounded utility functions in expected-utility maximization: response, Quart. J. Econom. 88 (1974), no. 1, 136--138.
• Berkelaar, A.B.; Kouwenberg, R.; Post, T. Optimal portfolio choice under loss aversion, Rev. Econom. Statist. 86 (2004), no. 4, 973--987.
• Carlier, G.; Dana, R.-A. Optimal demand for contingent claims when agents have law invariant utilities. Math. Finance 21 (2011), no. 2, 169--201. MR2790901
• Cvitanić, Jakša; Karatzas, Ioannis. Hedging and portfolio optimization under transaction costs: a martingale approach. Math. Finance 6 (1996), no. 2, 133--165. MR1384221
• Föllmer, Hans; Schied, Alexander. Stochastic finance. An introduction in discrete time. Second revised and extended edition. de Gruyter Studies in Mathematics, 27. Walter de Gruyter & Co., Berlin, 2004. xii+459 pp. ISBN: 3-11-018346-3 MR2169807
• Jin, Hanqing; Zhou, Xun Yu. Behavioral portfolio selection in continuous time. Math. Finance 18 (2008), no. 3, 385--426. MR2427728
• Kahneman, D.; Tversky, A. Prospect theory: An analysis of decision under risk, Econometrica 47 (1979), no. 2, 263--292.
• Kramkov, D.; Schachermayer, W. The asymptotic elasticity of utility functions and optimal investment in incomplete markets. Ann. Appl. Probab. 9 (1999), no. 3, 904--950. MR1722287
• Markowitz, H.M. Investment for the long run: new evidence for an old rule, J. Finance 31 (1976), no. 5, 1273--1286.
• Menger, K. Das Unsicherheitsmoment in der Wertlehre, Zeitschrift für Nationalükonomie 5 (1934), no. 4, 459--485.
• Menger, M. The role of uncertainty in economics (Das Unsicherheitsmoment in der Wertlehre), Essays in mathematical economics in honor of Oscar Morgenstern, Princeton University Press, 1967, pp. 211--231.
• Muraviev, Roman; Rogers, L. C. G. Utilities bounded below. Ann. Finance 9 (2013), no. 2, 271--289. MR3055423
• Prelec, Drazen. The probability weighting function. Econometrica 66 (1998), no. 3, 497--527. MR1627026
• Rásonyi, Miklós; Rodrigues, Andrea M. Optimal portfolio choice for a behavioural investor in continuous-time markets. Ann. Finance 9 (2013), no. 2, 291--318. MR3055424
• Rásonyi, Miklós; Stettner, Lukasz. On utility maximization in discrete-time financial market models. Ann. Appl. Probab. 15 (2005), no. 2, 1367--1395. MR2134107
• Reichlin, C. Behavioural portfolio selection: asymptotics and stability along a sequence of models, Math. Finance (2013).
• Ryan, T.M. The use of unbounded utility functions in expected-utility maximization: comment, Quart. J. Econom. 88 (1974), no. 1, 133--135.
• Samuelson, P.A. St. Petersburg paradoxes: defanged, dissected, and historically described, Journal of Economic Literature 15 (1977), no. 1, 24--55.
• Savage, Leonard J. The foundations of statistics. John Wiley & Sons, Inc., New York; Chapman & Hill, Ltd., London, 1954. xv+294 pp. MR0063582
• Tversky, A.; Kahneman, D. Advances in prospect theory: cumulative representation of uncertainty, Journal of Risk and Uncertainty 5 (1992), no. 4, 297--323.
• von Neumann, John; Morgenstern, Oskar. Theory of Games and Economic Behavior. Princeton University Press, Princeton, New Jersey, 1944. xviii+625 pp. MR0011937