The optimal payoff for a Yaari investor

DOI10.1080/14697688.2022.2095924zbMath1500.91119OpenAlexW4288720331MaRDI QIDQ5041665

Unnamed Author, Steven Vanduffel, Leopoldo Catania

Publication date: 14 October 2022

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

Full work available at URL: https://doi.org/10.1080/14697688.2022.2095924

zbMATH Keywords

decision analysispreferencescost-efficiencyHoeffding-Fréchet bounds

Mathematics Subject Classification ID

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

Related Items (3)

Optimal investment problem under behavioral setting: a Lagrange duality perspective ⋮ Pairwise counter-monotonicity ⋮ Variance insurance contracts

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