PORTFOLIO CHOICE VIA QUANTILES

Author:

He Xue Dong,Zhou Xun Yu

Publisher

Wiley

Subject

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

Reference43 articles.

1. Optimal Portfolio Choice under Loss Aversion;Berkelaar;Rev. Econ. Stat,2004

2. Reaching Goals by a Deadline: Digital Options and Continuous-time Active Portfolio Management;Browne;Adv. Appl. Probab,1999

3. Risk-constrained Dynamic Active Portfolio Management;Browne;Manage. Sci,2000

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

5. Cherny , A. D. B. Madan 2009 New Measures for Performance Evaluation Rev. Financ. Stud. 22 7 2371 2406

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