A Note On The Quantile Formulation

Citations

Cited by:

1. Jiaqin Wei & Jianming Xia & Qian Zhao, 2024. "Time-Consistent Portfolio Selection for Rank-Dependent Utilities in an Incomplete Market," Papers 2409.19259, arXiv.org.
2. Li, Yan & Mi, Hui, 2021. "Portfolio optimization under safety first expected utility with nonlinear probability distortion," Chaos, Solitons & Fractals, Elsevier, vol. 147(C).
3. Xue Dong He & Moris S. Strub & Thaleia Zariphopoulou, 2019. "Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion," Papers 1904.01745, arXiv.org.
4. Jing Peng & Pengyu Wei & Zuo Quan Xu, 2022. "Relative growth rate optimization under behavioral criterion," Papers 2211.05402, arXiv.org.
5. 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, December.
6. Ghossoub, Mario, 2019. "Budget-constrained optimal insurance without the nonnegativity constraint on indemnities," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 22-39.
7. Zuo Quan Xu & Fahuai Yi, 2020. "Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty," Mathematics of Operations Research, INFORMS, vol. 45(1), pages 384-401, February.
8. Fangyuan Zhang, 2023. "Non-concave portfolio optimization with average value-at-risk," Mathematics and Financial Economics, Springer, volume 17, number 3, December.
9. Denis Belomestny & Volker Krätschmer, 2017. "Optimal Stopping Under Probability Distortions," Mathematics of Operations Research, INFORMS, vol. 42(3), pages 806-833, August.
10. Zuo Quan Xu, 2021. "Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory," Papers 2108.06940, arXiv.org, revised Aug 2022.
11. Li, Yongwu & Xu, Zuo Quan, 2017. "Optimal insurance design with a bonus," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 111-118.
12. Felix-Benedikt Liebrich & Cosimo Munari, 2021. "Law-invariant functionals that collapse to the mean: Beyond convexity," Papers 2106.01281, arXiv.org, revised Jul 2021.
13. Jianming Xia, 2023. "Benchmark Beating with the Increasing Convex Order," Papers 2311.01692, arXiv.org.
14. Ghossoub, Mario, 2019. "Optimal insurance under rank-dependent expected utility," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 51-66.
15. 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.
16. Zuo Quan Xu, 2018. "Pareto optimal moral-hazard-free insurance contracts in behavioral finance framework," Papers 1803.02546, arXiv.org, revised Aug 2021.
17. Mi, Hui & Xu, Zuo Quan, 2023. "Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 82-105.
18. 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.
19. Zuo Quan Xu & Fahuai Yi, 2019. "Optimal redeeming strategy of stock loans under drift uncertainty," Papers 1901.06680, arXiv.org.
20. Xue Dong He & Zhaoli Jiang, 2020. "Optimal Payoff under the Generalized Dual Theory of Choice," Papers 2012.00345, arXiv.org.
21. Pengyu Wei & Zuo Quan Xu, 2021. "Dynamic growth-optimum portfolio choice under risk control," Papers 2112.14451, arXiv.org.
22. L. Rüschendorf & Steven Vanduffel, 2020. "On the construction of optimal payoffs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 129-153, June.
23. Mingyu Xu & Zuo Quan Xu & Xun Yu Zhou, 2022. "$g$-Expectation of Distributions," Papers 2208.06535, arXiv.org.
24. 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.
25. Yunhong Li & Zuo Quan Xu & Xun Yu Zhou, 2023. "Robust utility maximization with intractable claims," Papers 2304.06938, arXiv.org, revised Jul 2023.
26. Xue Dong He & Moris S. Strub & Thaleia Zariphopoulou, 2021. "Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 683-721, April.
27. 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).
28. Zongxia Liang & Fengyi Yuan, 2021. "Equilibrium master equations for time-inconsistent problems with distribution dependent rewards," Papers 2112.14462, arXiv.org, revised Apr 2022.
29. Yunhong Li & Zuo Quan Xu & Xun Yu Zhou, 2023. "Robust utility maximisation with intractable claims," Finance and Stochastics, Springer, vol. 27(4), pages 985-1015, October.
30. Ghossoub, Mario & He, Xue Dong, 2021. "Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 6-22.