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Portfolio Choice Via Quantiles

Abstract:

A portfolio choice model in continuous time is formulated for both complete and incomplete markets, where the quantile function of the terminal cash flow, instead of the cash flow itself, is taken as the decision variable. This formulation covers a wide body of existing and new models with law-invariant preference measures, including expected utility maximization, mean-variance, goal reaching, Yaari's dual model, Lopes' SP/A model, behavioral model under prospect theory, as well as those expl...

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Journal:
Mathematical Finance
Volume:
21
Issue:
2
Pages:
203-231
Publication date:
2011-04-05
DOI:
EISSN:
1467-9965
ISSN:
0960-1627
URN:
uuid:a6af77b8-3bff-428c-93b4-844c46aa2cdd
Source identifiers:
149620
Local pid:
pubs:149620

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