Rank-Dependent Utility and Risk Taking in Complete Markets
Author:
Funder
Columbia University
University Of Oxford
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Finance,Numerical Analysis
Link
https://epubs.siam.org/doi/pdf/10.1137/16M1072516
Reference33 articles.
1. MEAN-VARIANCE PORTFOLIO OPTIMIZATION WITH STATE-DEPENDENT RISK AVERSION
2. MONOTONICITY PROPERTIES OF OPTIMAL INVESTMENT STRATEGIES FOR LOG-BROWNIAN ASSET PRICES
3. Violations of the betweenness axiom and nonlinearity in probability
4. Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
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