Optimal payoff under the generalized dual theory of choice
type: Item
instance of: scholarly article
title: Optimal payoff under the generalized dual theory of choice
author: Xue Dong He
author: Zhaoli Jiang
published in: Operations Research Letters
publication date: 2021-12-13T00:00:00Z
full work available at URL: https://arxiv.org/abs/2012.00345
Mathematics Subject Classification ID: 91-XX
Mathematics Subject Classification ID: 90-XX
zbMATH DE Number: 7443029
zbMATH Keywords: portfolio selection
zbMATH Keywords: quantile approach
zbMATH Keywords: quantile maximization
zbMATH Keywords: dual theory of choice
MaRDI profile type: Publication
OpenAlex ID: W3144641441
cites work: Optimal payoffs under state-dependent preferences
cites work: Optimal claims with fixed payoff structure
cites work: Theory of constant proportion portfolio insurance
cites work: Control of investment portfolio based on complex quantile risk measures
cites work: Reaching goals by a deadline: digital options and continuous-time active portfolio management
cites work: Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
cites work: Two-persons efficient risk-sharing and equilibria for concave law-invariant utilities
cites work: OPTIMAL DEMAND FOR CONTINGENT CLAIMS WHEN AGENTS HAVE LAW INVARIANT UTILITIES
cites work: AN AXIOMATIZATION OF QUANTILES ON THE DOMAIN OF DISTRIBUTION FUNCTIONS
cites work: Robustness and sensitivity analysis of risk measurement procedures
cites work: Dynamic Quantile Models of Rational Behavior
cites work: Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance
cites work: Quantile Evaluation, Sensitivity to Bracketing, and Sharing Business Payoffs
cites work: Dynamic Portfolio Choice When Risk Is Measured by Weighted VaR
cites work: PORTFOLIO CHOICE VIA QUANTILES
cites work: BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
cites work: On the Measurement of Economic Tail Risk
cites work: External Risk Measures and Basel Accords
cites work: Quantile Maximization in Decision Theory*
cites work: On the construction of optimal payoffs
cites work: On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
cites work: ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES
cites work: A new characterization of comonotonicity and its application in behavioral finance
cites work: A NOTE ON THE QUANTILE FORMULATION
cites work: The Dual Theory of Choice under Risk
DOI: 10.1016/J.ORL.2021.03.008
description: scientific article; zbMATH DE number 7443029