Time-Consistent Conditional Expectation Under Probability Distortion
From MaRDI portal
Publication:4958560
DOI10.1287/MOOR.2020.1101zbMath1471.93282arXiv1809.08262OpenAlexW3135396486MaRDI QIDQ4958560
No author found.
Publication date: 14 September 2021
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1809.08262
Related Items (4)
Now decision theory ⋮ Distorted probability operator for dynamic portfolio optimization in times of socio-economic crisis ⋮ Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents ⋮ Random distortion risk measures
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Advances in prospect theory: cumulative representation of uncertainty
- Dynamic approaches for some time-inconsistent optimization problems
- Time-inconsistent optimal control problems and the equilibrium HJB equation
- The golden rule when preferences are time inconsistent
- A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective
- Time-Inconsistent Stochastic Linear--Quadratic Control
- Stochastic Partial Differential Equations and Portfolio Choice
- User’s guide to viscosity solutions of second order partial differential equations
- Prospect Theory: An Analysis of Decision under Risk
- The Probability Weighting Function
- BETTER THAN DYNAMIC MEAN‐VARIANCE: TIME INCONSISTENCY AND FREE CASH FLOW STREAM
- General stopping behaviors of naïve and noncommitted sophisticated agents, with application to probability distortion
- Predictable Forward Performance Processes: The Binomial Case
- Time consistency of dynamic risk measures in markets with transaction costs
- MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
This page was built for publication: Time-Consistent Conditional Expectation Under Probability Distortion
