Optimal payoffs under state-dependent preferences

DOI10.1080/14697688.2014.981576zbMath1398.91503arXiv1308.6465OpenAlexW2605329467MaRDI QIDQ4683070

Franck Moraux, Steven Vanduffel, Ludger Rüschendorf, Carole Bernard

Publication date: 19 September 2018

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

Full work available at URL: https://arxiv.org/abs/1308.6465

zbMATH Keywords

hedgingconditional distributionoptimal portfolio selectionstate-dependent constraintsstate-dependent preferences

Mathematics Subject Classification ID

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

Related Items (17)

Ordering results for risk bounds and cost-efficient payoffs in partially specified risk factor models ⋮ The optimal payoff for a Yaari investor ⋮ Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk ⋮ Optimal portfolio positioning within generalized Johnson distributions ⋮ OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY ⋮ Portfolio Optimization within a Wasserstein Ball ⋮ Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion ⋮ Optimal strategies under omega ratio ⋮ Rationalizing investors' choices ⋮ Additive portfolio improvement and utility-efficient payoffs ⋮ OPTIMUM INSURANCE CONTRACTS WITH BACKGROUND RISK AND HIGHER-ORDER RISK ATTITUDES ⋮ On the Optimal Investment ⋮ Construction and Hedging of Optimal Payoffs in Lévy Models ⋮ Optimal payoff under the generalized dual theory of choice ⋮ A new efficiency test for ranking investments: application to hedge fund performance ⋮ On the construction of optimal payoffs ⋮ Cost-efficiency in multivariate Lévy models

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