PORTFOLIO CHOICE VIA QUANTILES (Q3084597)

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PORTFOLIO CHOICE VIA QUANTILES
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    title
    PORTFOLIO CHOICE VIA QUANTILES (English)
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    author
    Xue Dong He
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    Xun Yu Zhou
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    publication date
    25 March 2011
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    Mathematics Subject Classification ID
    91G10
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    91B16
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    62P05
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    91B25
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    91B70
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    91G70
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    zbMATH DE Number
    5870031
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    zbMATH Keywords
    continuous-time market model
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    portfolio choice
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    quantile function
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    law invariant measure
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    probability distortion
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    utility maximization
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    Yaari's dual theory
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    goal reaching
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    mutual fund theorem
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