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Dynamic portfolio selection under generalized disappointment aversion
This paper addresses the continuous-time portfolio selection problem under generalized disappointment aversion (GDA).
Dynamic portfolio selection for nonlinear law-dependent preferences
This paper addresses the portfolio selection problem for nonlinear law-dependent preferences in continuous time, which inherently exhibit time inconsistency.
Benchmark Beating with the Increasing Convex Order
We then investigate the problem of minimizing the variance of a portfolio with ICX order constraints, based on which we also study the problem of beating-performance-variance efficient portfolios.
Optimal Investment with Risk Controlled by Weighted Entropic Risk Measures
A risk measure that is consistent with the second-order stochastic dominance and additive for sums of independent random variables can be represented as a weighted entropic risk measure (WERM).
Cash-subadditive risk measures without quasi-convexity
In the literature of risk measures, cash subadditivity was proposed to replace cash additivity, motivated by the presence of stochastic or ambiguous interest rates and defaultable contingent claims.
Decision Making under Uncertainty: A Game of Two Selves
In this paper we characterize the niveloidal preferences that satisfy the Weak Order, Monotonicity, Archimedean, and Weak C-Independence Axioms from the point of view of an intra-personal, leader-follower game.
Monetary Risk Measures
A monetary (respectively, positively homogeneous) risk measure can be characterized as the lower envelope of a family of convex (respectively, coherent) risk measures.
