Within the framework of Kahneman and Tversky's cumulative prospective theory  , this paper considers a continuous-time behavioral portfolio selection model, which includes both running and terminal terms in the objective functional. Despite the existence of S-shaped utility functions and probability distortions, a necessary condition for optimality is derived by stochastic maximum principle. Finally, the results are applied to various cases .
Within the framework of the cumulative prospective theory of Kahneman and Tversky , this paper considers a continuous-time behavioral portfolio selection problem whose model includes both running and terminal terms in the objective functional. Despite the existence of S-shaped utility functions and probability distortions, a necessary condition for optimality is derived . The results are applied to various examples .
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