A new characterization of comonotonicity and its application in behavioral finance
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Publication:488508
DOI10.1016/j.jmaa.2014.03.053zbMath1304.91211arXiv1311.6080OpenAlexW2949947475MaRDI QIDQ488508
Publication date: 26 January 2015
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1311.6080
comonotonicitycumulative prospect theorybehavioral financepricing kernelatomless/non-atomiceconomic equilibrium modelquantile formulationrank-dependent utility theory
Inequalities; stochastic orderings (60E15) Utility theory (91B16) Financial applications of other theories (91G80) Portfolio theory (91G10)
Related Items (15)
Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory ⋮ The optimal payoff for a Yaari investor ⋮ Robust utility maximisation with intractable claims ⋮ Relative Growth Rate Optimization Under Behavioral Criterion ⋮ Optimal multivariate financial decision making ⋮ Comonotonicity for sets of probabilities ⋮ Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory ⋮ Comonotonicity and low volatility effect ⋮ Expected Utility Maximization with Stochastic Dominance Constraints in Complete Markets ⋮ A NOTE ON THE QUANTILE FORMULATION ⋮ A Robust Markowitz Mean-Variance Portfolio Selection Model with an Intractable Claim ⋮ Optimal payoff under the generalized dual theory of choice ⋮ On the construction of optimal payoffs ⋮ \(g\)-expectation of distributions ⋮ Short Communication: Minimal Quantile Functions Subject to Stochastic Dominance Constraints
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- An Overview of Comonotonicity and Its Applications in Finance and Insurance
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
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