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
All content on this site: Copyright © 2023 Elsevier Inc., its licensors, and contributors. All rights are reserved, including those for text and data mining, AI training, and similar technologies. For all open access content, the Creative Commons licensing terms apply.
To learn more, visit
This page was processed by aws-apollo-l200 in 0.362 seconds