PORTFOLIO CHOICE VIA QUANTILES

DOI10.1111/j.1467-9965.2010.00432.xzbMath1229.91291OpenAlexW2139626805MaRDI QIDQ3084597

Publication date: 25 March 2011

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

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00432.x

zbMATH Keywords

utility maximization portfolio choice quantile function probability distortion mutual fund theorem Yaari's dual theory continuous-time market model goal reaching law invariant measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Stochastic models in economics (91B70) Utility theory (91B16) Portfolio theory (91G10)

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