On the construction of optimal payoffs
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DOI: 10.1007/s10203-019-00272-9
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- Felix-Benedikt Liebrich & Cosimo Munari, 2022. "Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity," Mathematics and Financial Economics, Springer, volume 16, number 2, February.
- Fangyuan Zhang, 2023. "Non-concave portfolio optimization with average value-at-risk," Mathematics and Financial Economics, Springer, volume 17, number 3, February.
- Chen, An & Vanduffel, Steven & Wilke, Morten, 2025. "Optimal payoffs under smooth ambiguity," European Journal of Operational Research, Elsevier, vol. 320(3), pages 754-764.
- Xue Dong He & Zhaoli Jiang, 2020. "Optimal Payoff under the Generalized Dual Theory of Choice," Papers 2012.00345, arXiv.org.
- Carole Bernard & Gero Junike & Thibaut Lux & Steven Vanduffel, 2024.
"Cost-efficient payoffs under model ambiguity,"
Finance and Stochastics, Springer, vol. 28(4), pages 965-997, October.
- Carole Bernard & Gero Junike & Thibaut Lux & Steven Vanduffel, 2022. "Cost-efficient Payoffs under Model Ambiguity," Papers 2207.02948, arXiv.org, revised Aug 2023.
- Cai, Jun & Liu, Fangda & Yin, Mingren, 2024. "Worst-case risk measures of stop-loss and limited loss random variables under distribution uncertainty with applications to robust reinsurance," European Journal of Operational Research, Elsevier, vol. 318(1), pages 310-326.
- Bernard, C. & De Gennaro Aquino, L. & Vanduffel, S., 2023. "Optimal multivariate financial decision making," European Journal of Operational Research, Elsevier, vol. 307(1), pages 468-483.
- Yichun Chi & Zuo Quan Xu & Sheng Chao Zhuang, 2022.
"Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk,"
North American Actuarial Journal, Taylor & Francis Journals, vol. 26(3), pages 351-382, August.
- Yichun Chi & Zuo Quan Xu & Sheng Chao Zhuang, 2021. "Distributionally robust goal-reaching optimization in the presence of background risk," Papers 2108.04464, arXiv.org, revised Dec 2021.
- Felix-Benedikt Liebrich & Cosimo Munari, 2021. "Law-invariant functionals that collapse to the mean: Beyond convexity," Papers 2106.01281, arXiv.org, revised Jul 2021.
- Bi, Xiuchun & Cui, Zhenyu & Fan, Jiacheng & Yuan, Lvning & Zhang, Shuguang, 2023. "Optimal investment problem under behavioral setting: A Lagrange duality perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 156(C).
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Keywords
State-dependent preferences; Yaari’s dual theory of choice; Incomplete market models; Optimization under monotonicity constraints; Hoeffding–Fréchet bounds;All these keywords.
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