On the construction of optimal payoffs

DOI10.1007/S10203-019-00272-9zbMATH Open1444.91201OpenAlexW3125645627WikidataQ126785597 ScholiaQ126785597MaRDI QIDQ777925FDOQ777925

Ludger Rüschendorf, Steven Vanduffel

Publication date: 8 July 2020

Published in: Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10203-019-00272-9

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zbMATH Keywords

[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=Hoeffding-Fr%EF%BF%BD%EF%BF%BDchet+bounds&go=Go Hoeffding-Fr��chet bounds]incomplete market modelsoptimization under monotonicity constraintsstate-dependent preferencesYaari's dual theory of choice

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16) Microeconomic theory (price theory and economic markets) (91B24)

Cites Work

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Cited In (16)

• Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk
• On the Harsanyi payoff vectors and Harsanyi imputations
• A note on the suboptimality of path-dependent pay-offs in Lévy markets
• Risk management with expected shortfall
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• Optimal investment problem under behavioral setting: a Lagrange duality perspective
• Portfolio Optimization within a Wasserstein Ball
• Optimal multivariate financial decision making
• Non-concave portfolio optimization with average value-at-risk
• Looking at mean-payoff and total-payoff through windows
• Cost-efficient payoffs under model ambiguity
• Law-invariant functionals that collapse to the mean: beyond convexity
• DYNAMIC ASSET ALLOCATION FOR TARGET DATE FUNDS UNDER THE BENCHMARK APPROACH
• The optimal payoff for a Yaari investor
• OPTIMAL PORTFOLIO UNDER STATE-DEPENDENT EXPECTED UTILITY
• Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion

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