Berkelaar, A.B.

portfolio function return solution wealth asset investor point value aversion stock agent interval problem utility price investment loss aversion value function reference point theorem model partition horizon reference algorithm result drawdown proof equity liability approach journal programming state economy surplus market parameter level utility function pension asset management vol volatility lemma transition-point risk aversion prospect theory investment horizon ratio power linearity interval power utility function process equilibrium weight linearity management section power utility curvy-linearity interval vector 0.5 loss-averse investor theory loss-averse 1.5 equity premium time t right 1470-8272 journal variance equilibrium stock price treasury increase terminal wealth 2.5 portfolio weight semide nite programming 0.4