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SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY

  • Published:2014-09-04 Issue:1 Volume:27 Page:115-150
  • ISSN:0960-1627
  • Container-title:Mathematical Finance
  • language:en
  • Short-container-title:Mathematical Finance

Author:

Cao Xi-Ren12,Wan Xiangwei3

Affiliation:

1. Antai College of Economics and Management and Department of Automation; Shanghai Jiao Tong University

2. Institute of Advanced Study; Hong Kong University of Science and Technology

3. Antai College of Economics and Management; Shanghai Jiao Tong University

Funder

Oxford University Press

Chinese University of Hong Kong

National Natural Science Foundation of China

Food and Health Bureau

Shanghai Pujiang Program

Shanghai Jiao Tong University

Publisher

Wiley

Subject

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

Reference50 articles.

1. Static Portfolio Choice under Cumulative Prospect Theory;Bernard;Math. Financ. Econ,2010

2. Estimating Security Price Derivatives Using Simulation;Broadie;Manage. Sci,1996

3. Law Invariant Concave Utility Functions and Optimization Problems with Monotonicity and Comonotonicity Constraints;Carlier;Stat. Decis,2006

4. Optimal Demand for Contingent Claims When Agents Have Law Invariant Utilities;Carlier;Math. Finance,2011

5. Convergence of Parameter Sensitivity Estimates in a Stochastic Experiment;Cao;IEEE Trans. Autom. Control,1985

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2. Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time;Journal of Computational and Applied Mathematics;2023-08

3. Estimating Confidence Regions for Distortion Risk Measures and Their Gradients;2022 Winter Simulation Conference (WSC);2022-12-11

4. Cascade Sensitivity Measures;Risk Analysis;2021-06-02

5. Computing Sensitivities for Distortion Risk Measures;INFORMS Journal on Computing;2021-03-08
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