Abstract:We are interested in investors’ interaction with portfolio managers and investigate the manager’s optimal strategy under cumulative prospect theory. We create model to characterize the relative anxiety about investing in risk assets and trust in the manager. Besides, we research how anxiety and trust affect the manager’s fee and the investors’ portfolios under cumulative prospect theory. Compared with previous work, our main novelty is that we focus on a dynamic portfolio selection. In other words, we formulate… Show more
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