Sensitivity analysis of nonlinear behavior with distorted probability
From MaRDI portal
Recommendations
Cites work
- scientific article; zbMATH DE number 50675 (Why is no real title available?)
- scientific article; zbMATH DE number 51708 (Why is no real title available?)
- scientific article; zbMATH DE number 920136 (Why is no real title available?)
- A Stochastic Approximation Method
- A duality method for optimal consumption and investment under short- selling prohibition. I: General market coefficients
- A duality method for optimal consumption and investment under short- selling prohibition. II: Constant market coefficients
- A generalized clark representation formula, with application to optimal portfolios
- Advances in prospect theory: cumulative representation of uncertainty
- Approximation Theorems of Mathematical Statistics
- Arrow-Debreu equilibria for rank-dependent utilities
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
- Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case
- Convergence Properties of Infinitesimal Perturbation Analysis Estimates
- Convergence of parameter sensitivity estimates in a stochastic experiment
- Convex duality in constrained portfolio optimization
- Curvature of the Probability Weighting Function
- Erratum to ``Behavioral portfolio selection in continuous time
- Estimating Security Price Derivatives Using Simulation
- Estimating quantile sensitivities
- Law invariant concave utility functions and optimization problems with monotonicity and comonotonicity constraints
- Martingale and Duality Methods for Utility Maximization in an Incomplete Market
- Optimal demand for contingent claims when agents have law invariant utilities
- Optimum consumption and portfolio rules in a continuous-time model
- Perturbation analysis and optimization of queueing networks
- Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
- Risk, ambiguity and the Savage axioms
- Static portfolio choice under cumulative prospect theory
- Stochastic Estimation of the Maximum of a Regression Function
- The Dual Theory of Choice under Risk
- The Probability Weighting Function
Cited in
(9)- Computing Sensitivities for Distortion Risk Measures
- Asymptotics for credit portfolio losses due to defaults in a multi-sector model
- Nonparametric inference for sensitivity of Haezendonck-Goovaerts risk measure
- A new unbiased stochastic derivative estimator for discontinuous sample performances with structural parameters
- Sensitivity analysis for expected utility maximization in incomplete Brownian market models
- Time-consistent conditional expectation under probability distortion
- An efficient exponential twisting importance sampling technique for pricing financial derivatives
- Dynamic mean-downside risk portfolio selection with a stochastic interest rate in continuous-time
- Optimization in curbing risk contagion among financial institutes
This page was built for publication: Sensitivity analysis of nonlinear behavior with distorted probability
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2968276)
