Recommendations
Cites work
- scientific article; zbMATH DE number 1200330 (Why is no real title available?)
- scientific article; zbMATH DE number 3390139 (Why is no real title available?)
- A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
- A benchmark approach to quantitative finance
- A new characterization of comonotonicity and its application in behavioral finance
- A new efficiency test for ranking investments: application to hedge fund performance
- A note on the quantile formulation
- A note on the suboptimality of path-dependent pay-offs in Lévy markets
- Advances in prospect theory: cumulative representation of uncertainty
- Arrow-Debreu equilibria for rank-dependent utilities
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- Beating a moving target: optimal portfolio strategies for outperforming a stochastic benchmark
- Behavioral portfolio selection with loss control
- Comparison methods for stochastic models and risks
- Conditional variability ordering of distributions
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Convex Hedging in Incomplete Markets
- Convex duality in constrained portfolio optimization
- Diffusion-based models for financial markets without martingale measures
- Efficient hedging: cost versus shortfall risk
- Esscher transforms and the minimal entropy martingale measure for exponential Lévy models
- Hedging contingent claims with constrained portfolios
- Hyperbolic distributions in finance
- Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Mathematicalising behavioural finance
- Maximizing the probability of a perfect hedge
- Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection
- Mean-variance portfolio optimization with state-dependent risk aversion
- Minimal entropy preserves the Lévy property: how and why
- On the optimal risk allocation problem
- Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
- Optimal claims with fixed payoff structure
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal payoffs under state-dependent preferences
- Optimal stopping under probability distortion
- Optimum consumption and portfolio rules in a continuous-time model
- Option Pricing With V. G. Martingale Components1
- PORTFOLIO MANAGEMENT WITH CONSTRAINTS
- Portfolio choice via quantiles
- Portfolio optimization for an investor with a benchmark
- Pricing contingent claims on stocks driven by Lévy processes
- Prospect Theory: An Analysis of Decision under Risk
- Quantile hedging
- Rationalizing investors' choices
- Solution of a statistical optimization problem by rearrangement methods
- Stochastic finance. An introduction in discrete time
- Stochastically ordered distributions and monotonicity of the oc-function of sequential probability ratio tests
- Testing Statistical Hypotheses
- Testing composite hypotheses via convex duality
- The Dual Theory of Choice under Risk
- The asymptotic elasticity of utility functions and optimal investment in incomplete markets
- The cumulant process and Esscher's change of measure
- The risk premium and the Esscher transform in power markets
- The role of aspiration level in risky choice: A comparison of cumulative prospect theory and SP/A theory
- Theory of games and economic behavior.
- Time-inconsistent portfolio investment problems
Cited in
(20)- Co-monotonicity of optimal investments and the design of structured financial products
- On the Harsanyi payoff vectors and Harsanyi imputations
- Risk management with expected shortfall
- Optimal payoff under the generalized dual theory of choice
- A note on the suboptimality of path-dependent pay-offs in Lévy markets
- Optimal investment problem under behavioral setting: a Lagrange duality perspective
- On the optimal investment
- Optimal portfolio under state-dependent expected utility
- 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
- Distributionally robust goal-reaching optimization in the presence of background risk
- Optimal payoffs under state-dependent preferences
- Optimal claims with fixed payoff structure
- The optimal payoff for a Yaari investor
- Portfolio performance under benchmarking relative loss and portfolio insurance: From omega ratio to loss aversion
- Dynamic asset allocation for target date funds under the benchmark approach
This page was built for publication: On the construction of optimal payoffs
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q777925)
