Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion
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Publication:6054362
DOI10.1111/mafi.12298zbMath1522.91224arXiv1904.01745OpenAlexW3122223122MaRDI QIDQ6054362
Moris S. Strub, Xue Dong He, Thaleia Zariphopoulou
Publication date: 28 September 2023
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.01745
inverse problemsportfolio selectionrank-dependent utilitytime-consistencyprobability distortionforward performance criteria
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