Portfolio optimization under safety first expected utility with nonlinear probability distortion

DOI10.1016/j.chaos.2021.110917zbMath1486.91076OpenAlexW3155122933MaRDI QIDQ2143560

Hui Mi, Yan Li

Publication date: 31 May 2022

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2021.110917

zbMATH Keywords

concave envelopequantile functionrank-dependent utility theoryinversed-S shaped distortionSFEUD model

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

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