The optimal payoff for a Yaari investor
From MaRDI portal
Publication:5041665
DOI10.1080/14697688.2022.2095924zbMATH Open1500.91119OpenAlexW4288720331MaRDI QIDQ5041665FDOQ5041665
Authors: Steven Vanduffel, Leopoldo Catania 
Publication date: 14 October 2022
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2022.2095924
Recommendations
Cites Work
- Coherent measures of risk
- On the optimal risk allocation problem
- Title not available (Why is that?)
- Theory of games and economic behavior.
- The Dual Theory of Choice under Risk
- Optimal demand for contingent claims when agents have law invariant utilities
- Portfolio choice via quantiles
- Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
- Stochastic finance. An introduction in discrete time
- Continuous time mean variance asset allocation: a time-consistent strategy
- Advances in prospect theory: cumulative representation of uncertainty
- Title not available (Why is that?)
- Robustness and sensitivity analysis of risk measurement procedures
- Optimal stopping under probability distortion
- Risk Measures and Comonotonicity: A Review
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- Optimal multi-period mean-variance policy under no-shorting constraint
- Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
- Behavioral portfolio selection with loss control
- Optimality of payoffs in Lévy models
- A new characterization of comonotonicity and its application in behavioral finance
- Optimal claims with fixed payoff structure
- Optimal payoffs under state-dependent preferences
- Rationalizing investors' choices
- Hope, fear, and aspirations
- Approximated Convex Envelope of a Function
- Arrow-Debreu equilibria for rank-dependent utilities
- A note on the quantile formulation
- On the construction of optimal payoffs
- What is the expected return on the market?
- Optimal payoff under the generalized dual theory of choice
- Risk management with expected shortfall
Cited In (6)
- Optimal investment problem under behavioral setting: a Lagrange duality perspective
- On the optimal investment
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- Variance insurance contracts
- On the construction of optimal payoffs
- Pairwise counter-monotonicity
This page was built for publication: The optimal payoff for a Yaari investor
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5041665)
