Rank-dependent predictable forward performance processes

DOI10.3934/PUQR.2024010zbMATH Open1542.91355MaRDI QIDQ6586871

Bahman Angoshtari, Shida Duan

Publication date: 13 August 2024

Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

zbMATH Keywords

Volterra integral equationstime consistencyprobability distortionrank dependent utilityforward performance criteriainverse investment problemscompletely monotonic inverse marginals

Mathematics Subject Classification ID

Utility theory (91B16) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Volterra integral equations (45D05) Portfolio theory (91G10)

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