Portfolio choice via quantiles
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Publication:3084597
DOI10.1111/J.1467-9965.2010.00432.XzbMATH Open1229.91291OpenAlexW2139626805MaRDI QIDQ3084597FDOQ3084597
Authors: Xue Dong He, Xun Yu Zhou 
Publication date: 25 March 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00432.x
Recommendations
portfolio choiceutility maximizationquantile functionprobability distortionmutual fund theoremYaari's dual theorycontinuous-time market modelgoal reachinglaw invariant measure
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10) Utility theory (91B16) Stochastic models in economics (91B70)
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