Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion-Reference-Cited by-同舟云学术

Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion

Published:2021-01-21 Issue:2 Volume:31 Page:683-721
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

He Xue Dong¹^ORCID,Strub Moris S.²^ORCID,Zariphopoulou Thaleia³⁴^ORCID

Affiliation:

1. Department of Systems Engineering and Engineering Management The Chinese University of Hong Kong Hong Kong Hong Kong

2. Department of Information Systems and Management Engineering Southern University of Science and Technology Shenzhen China

3. Departments of Mathematics and IROM The University of Texas at Austin Austin Texas USA

4. Oxford‐Man Institute University of Oxford Oxford UK

Funder

National Natural Science Foundation of China

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

https://onlinelibrary.wiley.com/doi/pdf/10.1111/mafi.12298

Reference53 articles.

1. Predictable Forward Performance Processes: The Binomial Case

2. The Psychology of Tail Events: Progress and Challenges

3. Stocks as Lotteries: The Implications of Probability Weighting for Security Prices

4. Dynamic preferences for popular investment strategies in pension funds

5. A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM‐measure perspective;Bielecki T. R.;Probability, Uncertainty and Quantitative Risk,2017

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