Rank-dependent predictable forward performance processes

DOI10.3934/PUQR.2024010MaRDI QIDQ6586871zbMATH OpenFDO

Authors Bahman Angoshtari, Shida Duan

Publication date 13 August 2024

Published in Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)

zbMATH Keywords

Volterra integral equationstime consistencyprobability distortionrank dependent utilityforward performance criteriainverse investment problemscompletely monotonic inverse marginals

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Volterra integral equations (45D05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimal stochastic control (93E20)

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• Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions
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Cited in

(2)

• Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions
• Predictable forward performance processes in complete markets

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