Hong Kong Polytechnic University
Behavioral finance; rank-dependent expected utility; quantile formulation; relax- ation method; VaR constraint; portfolio insurance.
optimal stopping, probability distortion, Choquet expectation, probability distribution/qunatile function, Skorokhod embedding problem, $S$-shaped and reverse $S$-shaped function
Heterogeneous consumption; Non-concave utility; Dynamic programming; Optimal stopping; Variational inequality; Dual transformation; Free boundary
Dual Utility; Conditional Joint Mixability; Risk Aggregation; Dependence Uncertainty; Pessimism Effect
optimal insurance design, rank-dependent utility theory, Yaari’s dual criterion, probability weighting function, moral hazard, indemnity function, retention function, quantile formulation
Rank-dependent utility theory, probability distortion/weighting function, quantile formulation, VaR, tail VaR, relaxation method
Quantile Optimization, Probability Weighting/Distortion, Relaxation Method, Insurance Contract Design, Free Boundary Problem, Calculus of Variations
Pareto optimal/efficient insurance contracts, rank-dependent utility theory, quantile optimization, probability weighting/distortion function, double- obstacle problem, calculus of variations
Mean-risk portfolio choice, growth-optimal portfolio, log-return, weighted Value-at-Risk, efficient frontier, benchmarking, quantile formulation
