Consistent investment of sophisticated rank‐dependent utility agents in continuous time
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Publication:6054373
DOI10.1111/mafi.12315zbMath1522.91225arXiv2006.01979MaRDI QIDQ6054373
Ying Hu, Xun Yu Zhou, Hanqing Jin
Publication date: 28 September 2023
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2006.01979
time inconsistencyportfolio selectioncontinuous timerank-dependent utilityprobability weightingmarket price of riskintra-personal equilibrium strategy
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Cites Work
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