Rank-Dependent Utility and Risk Taking in Complete Markets
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Publication:5266359
DOI10.1137/16M1072516zbMath1364.91142MaRDI QIDQ5266359
Xue Dong He, Roy Kouwenberg, Xun Yu Zhou
Publication date: 2 June 2017
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
risk aversionportfolio selectionrank-dependent utilitycomplete marketsoptimal stock holdingless risky terminal wealth
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