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Rank-Dependent Predictable Forward Performance Processes

https://doi.org/10.2139/ssrn.4773271
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Evolution of the Arrow-Pratt Measure of Risk-Tolerance for Predictable Forward Utility Processes
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BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
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OPTIMAL DEMAND FOR CONTINGENT CLAIMS WHEN AGENTS HAVE LAW INVARIANT UTILITIES
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PORTFOLIO CHOICE VIA QUANTILES
inferredcites →https://doi.org/10.1111/mafi.12044openalex-extracted
HOPE, FEAR, AND ASPIRATIONS
inferredcites →https://doi.org/10.1111/mafi.12070openalex-extracted
ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES
inferredcites →https://doi.org/10.1111/mafi.12072openalex-extracted
A NOTE ON THE QUANTILE FORMULATION
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Arrow–Debreu equilibria for rank‐dependent utilities with heterogeneous probability weighting
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Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion
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Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time
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Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions
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Representation of Forward Performance Criteria with Random Endowment via FBSDE and Its Application to Forward Optimized Certainty Equivalent
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Portfolio Choice under Space-Time Monotone Performance Criteria
inferredcites →https://doi.org/10.1137/16m1072516openalex-extracted
Rank-Dependent Utility and Risk Taking in Complete Markets
inferredcites →https://doi.org/10.1137/17m1143812openalex-extracted
Black's Inverse Investment Problem and Forward Criteria with Consumption
inferredcites →https://doi.org/10.1137/18m1188653openalex-extracted
Predictable Forward Performance Processes: The Binomial Case
inferredcites →https://doi.org/10.1142/s0219024911006267openalex-extracted
INITIAL INVESTMENT CHOICE AND OPTIMAL FUTURE ALLOCATIONS UNDER TIME-MONOTONE PERFORMANCE CRITERIA
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Bernstein Functions: Theory and Applications
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Predictable Relative Forward Performance Processes: Multi-Agent and Mean Field Games for Portfolio Management
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The Probability Weighting Function
inferredcites →https://doi.org/10.3934/puqr.2023007openalex-extracted
Predictable forward performance processes in complete markets
inferredcites →https://doi.org/10.3934/puqr.2024006openalex-extracted
Forward robust portfolio selection: The binomial case
inferredcites →https://doi.org/10.48550/arxiv.2110.08900openalex-extracted
Predictable Forward Performance Processes: Infrequent Evaluation and Applications to Human-Machine Interactions
inferredcites →https://doi.org/10.48550/arxiv.2206.03608openalex-extracted
Predictable Forward Performance Processes in Complete Markets
inferredcites →https://doi.org/10.1007/bf02592679openalex-snapshot
Sur les fonctions absolument monotones
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