Rank-dependent predictable forward performance processes
DOI10.3934/PUQR.2024010zbMATH Open1542.91355MaRDI QIDQ6586871FDOQ6586871
Authors: Bahman Angoshtari, Shida Duan 
Publication date: 13 August 2024
Published in: Probability, Uncertainty and Quantitative Risk (Search for Journal in Brave)
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Volterra integral equationstime consistencyprobability distortionrank dependent utilityforward performance criteriainverse investment problemscompletely monotonic inverse marginals
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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