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Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time

https://doi.org/10.1111/mafi.12315
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-1-349-15492-0_10openalex-snapshot
Myopia and Inconsistency in Dynamic Utility Maximization
inferredcites →https://doi.org/10.1007/978-1-4612-1466-3openalex-snapshot
Stochastic controls : Hamiltonian systems and HJB equations
inferredcites →https://doi.org/10.1007/978-4-431-55402-8_1openalex-snapshot
Risk and Time Preferences: Linking Experimental and Household Survey Data from Vietnam
inferredcites →https://doi.org/10.1007/bf00122574openalex-snapshot
Advances in prospect theory: Cumulative representation of uncertainty
inferredcites →https://doi.org/10.1007/s002450010003openalex-snapshot
Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework
inferredcites →https://doi.org/10.1007/s00780-017-0327-5openalex-snapshot
On time-inconsistent stochastic control in continuous time
inferredcites →https://doi.org/10.1007/s11579-008-0014-6openalex-snapshot
Investment and consumption without commitment
inferredcites →https://doi.org/10.1016/0167-2681(82)90008-7openalex-snapshot
A theory of anticipated utility
inferredcites →https://doi.org/10.1016/s1874-5725(00)80003-6openalex-snapshot
A Survey of Recent Results for Initial and Boundary Value Problems Singular in the Dependent Variable
inferredcites →https://doi.org/10.1093/restud/rdt032openalex-snapshot
Higher Order Risk Attitudes, Demographics, and Financial Decisions
inferredcites →https://doi.org/10.1093/rfs/hhq028openalex-snapshot
Dynamic Mean-Variance Asset Allocation
inferredcites →https://doi.org/10.1111/1467-9965.00100openalex-snapshot
Optimal Dynamic Portfolio Selection: Multiperiod Mean‐Variance Formulation
inferredcites →https://doi.org/10.1111/j.1467-9965.2007.00327.xopenalex-snapshot
A CONVEX STOCHASTIC OPTIMIZATION PROBLEM ARISING FROM PORTFOLIO SELECTION
inferredcites →https://doi.org/10.1111/j.1467-9965.2008.00339.xopenalex-snapshot
BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
inferredcites →https://doi.org/10.1111/j.1467-9965.2010.00432.xopenalex-snapshot
PORTFOLIO CHOICE VIA QUANTILES
inferredcites →https://doi.org/10.1111/j.1467-9965.2011.00515.xopenalex-snapshot
MEAN–VARIANCE PORTFOLIO OPTIMIZATION WITH STATE‐DEPENDENT RISK AVERSION
inferredcites →https://doi.org/10.1111/j.1468-036x.2007.00439.xopenalex-snapshot
Non‐Monotonicity of the Tversky‐Kahneman Probability‐Weighting Function: A Cautionary Note
inferredcites →https://doi.org/10.1111/mafi.12298openalex-snapshot
Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion
inferredcites →https://doi.org/10.1137/110853960openalex-snapshot
Time-Inconsistent Stochastic Linear--Quadratic Control
inferredcites →https://doi.org/10.1137/15m1019040openalex-snapshot
Time-Inconsistent Stochastic Linear-Quadratic Control: Characterization and Uniqueness of Equilibrium
inferredcites →https://doi.org/10.1137/s0040585x97t987892openalex-snapshot
Optimal Investment under Behavioral Criteria in Incomplete Diffusion Market Models
inferredcites →https://doi.org/10.1257/aer.100.1.557openalex-snapshot
Risk and Time Preferences: Linking Experimental and Household Survey Data from Vietnam
inferredcites →https://doi.org/10.1287/mnsc.42.12.1676openalex-snapshot
Curvature of the Probability Weighting Function
inferredcites →https://doi.org/10.1287/moor.2020.1066openalex-snapshot
Strong and Weak Equilibria for Time-Inconsistent Stochastic Control in Continuous Time
inferredcites →https://doi.org/10.2139/ssrn.1694759openalex-snapshot
A General Theory of Markovian Time Inconsistent Stochastic Control Problems
inferredcites →https://doi.org/10.2139/ssrn.2253817openalex-snapshot
Probability Weighting and Asset Prices
inferredcites →https://doi.org/10.2139/ssrn.3308274openalex-snapshot
Equilibrium Strategies in Continuous-Time Time-Inconsistent Problems
inferredcites →https://doi.org/10.2139/ssrn.3579960openalex-snapshot
Beta and Coskewness Pricing: Perspective from Probability Weighting
inferredcites →https://doi.org/10.2307/1911158openalex-snapshot
The Dual Theory of Choice under Risk
inferredcites →https://doi.org/10.2307/1926560openalex-snapshot
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
inferredcites →https://doi.org/10.2307/2295722openalex-snapshot
Myopia and Inconsistency in Dynamic Utility Maximization
inferredcites →https://doi.org/10.2307/253675openalex-snapshot
A Class of Distortion Operators for Pricing Financial and Insurance Risks
inferredcites →https://doi.org/10.31235/osf.io/5rqhvopenalex-snapshot
Beta and Coskewness Pricing: Perspective from Probability Weighting
inferredcites →https://doi.org/10.48550/arxiv.math/0604264openalex-snapshot
Being serious about non-commitment: subgame perfect equilibrium in continuous time

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.4773271openalex-extracted
Rank-Dependent Predictable Forward Performance Processes
inferred← citeshttps://doi.org/10.1007/978-3-030-81843-2_25openalex-snapshot
Time-Inconsistent Stopping Under Distorted Probabilities
inferred← citeshttps://doi.org/10.1007/s10107-025-02208-1openalex-snapshot
Preference ambiguity and robustness in multistage decision making
inferred← citeshttps://doi.org/10.1111/mafi.12298openalex-snapshot
Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion
inferred← citeshttps://doi.org/10.1111/mafi.12391openalex-snapshot
Weak equilibria for time‐inconsistent control: With applications to investment‐withdrawal decisions
inferred← citeshttps://doi.org/10.1287/mnsc.2023.03182openalex-snapshot
Dynamic Portfolio Selection Under Quantile Maximization
inferred← citeshttps://doi.org/10.1287/mnsc.2023.03551openalex-snapshot
Dynamic Portfolio Selection and Asset Pricing Under Neo-Additive Probability Weighting
inferred← citeshttps://doi.org/10.1287/moor.2023.0345openalex-snapshot
Dynamic Portfolio Selection for Nonlinear Law-Dependent Preferences
inferred← citeshttps://doi.org/10.1287/moor.2024.0720openalex-snapshot
Time-Consistent Portfolio Selection for Rank-Dependent Utilities in a Constrained Market
inferred← citeshttps://doi.org/10.2139/ssrn.3657661openalex-snapshot
Portfolio Selection under Median and Quantile Maximization
inferred← citeshttps://doi.org/10.2139/ssrn.3870958openalex-snapshot
How Wall Street's 'Dirty Little Secret' Affects Investor Portfolios
inferred← citeshttps://doi.org/10.3390/jrfm15050209openalex-snapshot
How the Closure of a U.S. Tax Loophole May Affect Investor Portfolios
inferred← citeshttps://doi.org/10.3390/math12101503openalex-snapshot
The Maximal and Minimal Distributions of Wealth Processes in Black–Scholes Markets
inferred← citeshttps://doi.org/10.48550/arxiv.2109.04789openalex-snapshot
Multistage Utility Preference Robust Optimization
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