HOPE, FEAR, AND ASPIRATIONS

DOI10.1111/mafi.12044zbMath1403.91313OpenAlexW3122482627MaRDI QIDQ2788689

Xue Dong He, Xun Yu Zhou

Publication date: 22 February 2016

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/mafi.12044

zbMATH Keywords

feasibilityportfolio insuranceportfolio choiceill-posedrank-dependent utilityprobability weightingquantile formulationfear indexHF/A theoryhope indexlottery-likeness indexRDUTSP/A theory

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16) Portfolio theory (91G10)

Related Items (17)

The optimal payoff for a Yaari investor ⋮ How Endogenization of the Reference Point Affects Loss Aversion: A Study of Portfolio Selection ⋮ Optimal dividend strategies with time-inconsistent preferences and transaction costs in the Cramér-Lundberg model ⋮ Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion ⋮ Optimal investment problem under behavioral setting: a Lagrange duality perspective ⋮ Optimal stopping under probability distortion ⋮ Nash equilibria for relative investors via no-arbitrage arguments ⋮ Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory ⋮ Quantile portfolio optimization under risk measure constraints ⋮ ASYMPTOTIC EQUIVALENCE OF RISK MEASURES UNDER DEPENDENCE UNCERTAINTY ⋮ Cumulative Prospect Theory with Generalized Hyperbolic Skewed $t$ Distribution ⋮ ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES ⋮ A NOTE ON THE QUANTILE FORMULATION ⋮ OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY ⋮ Dual utilities on risk aggregation under dependence uncertainty ⋮ Dynamic consumption and portfolio choice under prospect theory ⋮ Rank-Dependent Utility and Risk Taking in Complete Markets

Cites Work

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• Subjective Probability and Expected Utility without Additivity
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• Prospect Theory: An Analysis of Decision under Risk
• Curvature of the Probability Weighting Function
• The Probability Weighting Function
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• Myopic Loss Aversion and the Equity Premium Puzzle
• A Genuine Rank-Dependent Generalization of the Von Neumann-Morgenstern Expected Utility Theorem
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME

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