Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance
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Cites work
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- A note on the quantile formulation
- Advances in prospect theory: cumulative representation of uncertainty
- Arrow-Debreu equilibria for rank-dependent utilities
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- Co-monotone allocations, Bickel-Lehmann dispersion and the Arrow-Pratt measure of risk aversion
- Descriptive statistics for non-parametric models. III: Dispersion
- Dynamic portfolio choice when risk is measured by weighted VaR
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- scientific article; zbMATH DE number 3646134 (Why is no real title available?)
- scientific article; zbMATH DE number 124474 (Why is no real title available?)
- Inverse S-shaped probability weighting and its impact on investment
- Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
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- Optimal risk sharing with background risk
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Cited in
(4)- Optimal payoff under the generalized dual theory of choice
- Optimal insurance to maximize RDEU under a distortion-deviation premium principle
- Concave/convex weighting and utility functions for risk: a new light on classical theorems
- Stackelberg equilibria in monopoly insurance markets with probability weighting
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