A NOTE ON THE QUANTILE FORMULATION

DOI10.1111/mafi.12072zbMath1348.91263arXiv1403.7269OpenAlexW2952436407MaRDI QIDQ5739190

Zuo Quan Xu

Publication date: 15 July 2016

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1403.7269

zbMATH Keywords

calculus of variationsrelaxation methodtime consistencybehavioral financeCPTquantile formulationatomiclaw-invariantfunctional optimization problemRDUTchange-of-variableatomless/nonatomicportfolio choice/selectionprobability weighting/distortion function

Mathematics Subject Classification ID

Stochastic programming (90C15) Utility theory (91B16) Portfolio theory (91G10)

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