Rank-dependent predictable forward performance processes
DOI10.3934/PUQR.2024010zbMATH Open1542.91355MaRDI QIDQ6586871
Publication date: 13 August 2024
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
Volterra integral equationstime consistencyprobability distortionrank dependent utilityforward performance criteriainverse investment problemscompletely monotonic inverse marginals
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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