Dynamic Portfolio Selection and Asset Pricing Under Neo-Additive Probability Weighting

Xue Dong He
Xue Dong He
[email protected]
https://orcid.org/0000-0003-2510-9822
Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Hong Kong, China
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Yu Sun
Corresponding Author
Yu Sun
[email protected]
https://orcid.org/0000-0001-9061-3713
Peking University HSBC Business School, Shenzhen 518055, China
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Xue Dong He

[email protected]

https://orcid.org/0000-0003-2510-9822

Department of Systems Engineering and Engineering Management, The Chinese University of Hong Kong, Hong Kong, China

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,

Corresponding Author

Yu Sun

[email protected]

https://orcid.org/0000-0001-9061-3713

Peking University HSBC Business School, Shenzhen 518055, China

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Published Online:4 Jun 2026https://doi.org/10.1287/mnsc.2023.03551

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Received:November 01, 2023
Accepted:February 02, 2026
Published Online:June 04, 2026

Copyright © 2026, INFORMS

Cite as

Xue Dong He, Yu Sun (2026) Dynamic Portfolio Selection and Asset Pricing Under Neo-Additive Probability Weighting. Management Science 0(0).

https://doi.org/10.1287/mnsc.2023.03551

Keywords