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A NOTE ON THE QUANTILE FORMULATION - MaRDI portal

A NOTE ON THE QUANTILE FORMULATION (Q5739190)

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scientific article; zbMATH DE number 6603660
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English
A NOTE ON THE QUANTILE FORMULATION
scientific article; zbMATH DE number 6603660

    Statements

    title
    A NOTE ON THE QUANTILE FORMULATION (English)
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    author
    Zuo Quan Xu
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    publication date
    15 July 2016
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    zbMATH Keywords
    portfolio choice/selection
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    behavioral finance
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    law-invariant
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    quantile formulation
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    probability weighting/distortion function
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    change-of-variable
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    relaxation method
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    calculus of variations
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    CPT
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    RDUT
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    time consistency
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    atomic
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    atomless/nonatomic
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    functional optimization problem
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    Identifiers

    DOI
    10.1111/mafi.12072
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    Mathematics Subject Classification ID
    91G10
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    91B16
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    90C15
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    zbMATH DE Number
    6603660
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    OpenAlex ID
    W2952436407
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    arXiv ID
    1403.7269
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