Portfolio optimization with probability distortion

DOI10.1016/J.SPL.2026.110733MaRDI QIDQ7249721zbMATH OpenFDO

Authors Sally Giuseppe Arcidiacono, Salvatore Greco

Publication date 19 May 2026

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.SPL.2026.110733

zbMATH Keywords

distorted expectationdistortion functionsportfolio optimizationrisk measures

Mathematics Subject Classification ID

Distribution theory (60Exx) Mathematical economics (91Bxx) Actuarial science and mathematical finance (91Gxx)

Cites work

• Compact versus noncompact LP formulations for minimizing convex Choquet integrals
• Distorted expectiles risk measure and LP formulation
• Distributional transforms, probability distortions, and their applications
• Insurance pricing and increased limits ratemaking by proportional hazards transforms
• Integral Representation Without Additivity
• Preference robust distortion risk measure and its application
• Stochastic finance. An introduction in discrete time.
• Systemic risk: conditional distortion risk measures
• The Dual Theory of Choice under Risk

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