A NOTE ON THE QUANTILE FORMULATION
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Publication:5739190
DOI10.1111/mafi.12072zbMath1348.91263arXiv1403.7269OpenAlexW2952436407MaRDI QIDQ5739190
Publication date: 15 July 2016
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.7269
calculus of variationsrelaxation methodtime consistencybehavioral financeCPTquantile formulationatomiclaw-invariantfunctional optimization problemRDUTchange-of-variableatomless/nonatomicportfolio choice/selectionprobability weighting/distortion function
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Cites Work
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- The Probability Weighting Function
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
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