A NOTE ON THE QUANTILE FORMULATION
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Publication:5739190
DOI10.1111/mafi.12072zbMath1348.91263arXiv1403.7269MaRDI QIDQ5739190
Publication date: 15 July 2016
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1403.7269
calculus of variations; relaxation method; time consistency; behavioral finance; CPT; quantile formulation; atomic; law-invariant; functional optimization problem; RDUT; change-of-variable; atomless/nonatomic; portfolio choice/selection; probability weighting/distortion function