Optimal multivariate financial decision making

Cites Work

Unnamed Item
Optimum consumption and portfolio rules in a continuous-time model
Multivariate utility maximization with proportional transaction costs
A new characterization of comonotonicity and its application in behavioral finance
Rationalizing investors' choices
Pareto efficiency for the concave order and multivariate comonotonicity
On the construction of optimal payoffs
Solution of a statistical optimization problem by rearrangement methods
On comonotonicity of Pareto optimal risk sharing
Explicit solutions to an optimal portfolio choice problem with stochastic income
Apportioning of risks via stochastic dominance
Bivariate distributions with given marginals
Optimal risk-sharing rules and equilibria with Choquet-expected-utility.
Optimal strategies under omega ratio
Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios
Dual formulation of the utility maximization problem under transaction costs
Portfolio optimization with entropic value-at-risk
Risk sharing for capital requirements with multidimensional security markets
Cooperative investment in incomplete markets under financial fairness
Explicit solutions of some utility maximization problems in incomplete markets
Optimal consumption in discrete-time financial models with industrial investment opportunities and nonlinear returns
PORTFOLIO CHOICE VIA QUANTILES
Risk-Constrained Dynamic Active Portfolio Management
Multiattribute Utility Satisfying a Preference for Combining Good with Bad
Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR
Multi-marginal optimal transport: Theory and applications
OPTIMAL NUMERAIRES FOR RISK MEASURES
Multivariate Risk Aversion, Utility Independence and Separable Utility Functions
Optimal maps for the multidimensional Monge-Kantorovich problem
MULTIATTRIBUTE UTILITY THEORY, INTERTEMPORAL UTILITY, AND CORRELATION AVERSION
LINEAR VERSUS NONLINEAR ALLOCATION RULES IN RISK SHARING UNDER FINANCIAL FAIRNESS
Conditional Systemic Risk Measures
Computation of Sharp Bounds on the Expected Value of a Supermodular Function of Risks with Given Marginals
OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
A NOTE ON THE QUANTILE FORMULATION
An Inequality for Rearrangements
A solution approach to valuation with unhedgeable risks