Multivariate portfolio choice via quantiles
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Cites work
- A note on the quantile formulation
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- Behavioral portfolio selection with loss control
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- Comonotonic measures of multivariate risks
- Comonotonicity and Pareto optimality, with application to collaborative insurance
- Dynamic Quantile Models of Rational Behavior
- Equilibrium in a Reinsurance Market
- Equilibrium investment with random risk aversion
- Inf-convolution of risk measures and optimal risk transfer
- Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
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- On the construction of optimal payoffs
- On the monotonicity of optimal transportation plans
- Optimal capital and risk allocations for law- and cash-invariant convex functions
- Optimal claims with fixed payoff structure
- Optimal demand for contingent claims when agents have law invariant utilities
- Optimal multivariate financial decision making
- Optimal payoff under the generalized dual theory of choice
- Optimal payoffs under state-dependent preferences
- Optimal portfolio under state-dependent expected utility
- OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
- Optimal risk sharing with non-monotone monetary functionals
- Optimal risk-sharing rules and equilibria with Choquet-expected-utility.
- Optimal solutions of multivariate coupling problems
- Overlapping sets of priors and the existence of efficient allocations and equilibria for risk measures
- Pareto efficiency for the concave order and multivariate comonotonicity
- Pareto optimal allocations and optimal risk sharing for quasiconvex risk measures
- Portfolio choice via quantiles
- Portfolio selection in quantile decision models
- Quantile-based risk sharing
- Robust decisions for heterogeneous agents via certainty equivalents
- Robustness and sensitivity analysis of risk measurement procedures
- Static and dynamic quantile preferences
- The Dual Theory of Choice under Risk
- The optimal payoff for a Yaari investor
- To split or not to split: Capital allocation with convex risk measures
- Utility Functions
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