Optimal investment based on relative performance and weighted utility
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Publication:6576555
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- scientific article; zbMATH DE number 7267272
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Cites work
- Advances in prospect theory: cumulative representation of uncertainty
- Myopic Loss Aversion and the Equity Premium Puzzle
- On relative performance, remuneration and risk taking of asset managers
- Optimal asset allocation for participating contracts with mortality risk under minimum guarantee
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans
- Optimal investment of DC pension plan under short-selling constraints and portfolio insurance
- Optimal investment strategies for participating contracts
- Optimal investment under VaR-regulation and minimum insurance
- Optimal investment with S-shaped utility and trading and value at risk constraints: an application to defined contribution pension plan
- Optimal management of DC pension plan under loss aversion and value-at-risk constraints
- Optimal portfolio choice for an insurer with loss aversion
- PROFIT SHARING IN HEDGE FUNDS
- Prospect Theory: An Analysis of Decision under Risk
- Prospect theory and asset prices
- Risk Management with Benchmarking
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