Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time
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DOI: 10.1111/mafi.12315
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- Christoph Frei & Liam Welsh, 2022. "How the Closure of a U.S. Tax Loophole May Affect Investor Portfolios," JRFM, MDPI, vol. 15(5), pages 1-10, May.
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- Zongxia Liang & Fengyi Yuan, 2021. "Equilibrium master equations for time-inconsistent problems with distribution dependent rewards," Papers 2112.14462, arXiv.org, revised Apr 2022.
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More about this item
Keywords
Rank-dependent utility; probability weighting; portfolio selection; con- tinuous time; time inconsistency; intra-personal equilibrium strategy; market price of risk;All these keywords.
NEP fields
This paper has been announced in the following NEP Reports:- NEP-UPT-2021-07-12 (Utility Models and Prospect Theory)
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