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A NOTE ON THE QUANTILE FORMULATION
12 references·5 citing·39 second hop
A NOTE ON THE QUANTILE FORMULATION (2014)A NOTE ON THE QUANTILE FORMULATIONOptimal stopping under probability distortion (2013)Optimal stopping under probab…PORTFOLIO CHOICE VIA QUANTILES (2010)PORTFOLIO CHOICE VIA QUANTILESBEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME (2008)BEHAVIORAL PORTFOLIO SELECTIO…A CONVEX STOCHASTIC OPTIMIZATION PROBLEM ARISING FROM PORTFOLIO SELECTION (2007)A CONVEX STOCHASTIC OPTIMIZAT…The Probability Weighting Function (1998)The Probability Weighting Fun…Weighing risk and uncertainty. (1995)Weighing risk and uncertainty.Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …A variational problem arising in financial economics (1991)A variational problem arising…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon (1987)Optimal Portfolio and Consump…A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios (1986)A Stochastic Calculus Model o…Prospect Theory: An Analysis of Decision under Risk (1979)Prospect Theory: An Analysis …On the construction of optimal payoffs (2019)On the construction of optima…Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion (2019)Forward Rank-Dependent Perfor…Optimal Underwriting Contracts in Securities Issuance Under Rank-Dependent Expected Utility (2018)Optimal Underwriting Contract…Risk management with weighted VaR (2017)Risk management with weighted…A new characterization of comonotonicity and its application in behavioral finance (2014)A new characterization of com…Optimum consumption and portfolio rules in a continuous-time model (1971)The Pricing of Options and Corporate Liabilities (1973)Martingales and arbitrage in multiperiod securities markets (1979)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)The asymptotic elasticity of utility functions and optimal investment in incomplete markets (1999)Strategic Asset Allocation (2002)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)An Intertemporal Capital Asset Pricing Model (1973)Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Optimal Portfolio Choice under Loss Aversion (2004)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk (2000)Necessary and sufficient conditions in the problem of optimal investment in incomplete markets (2003)Optimal investment strategies in the presence of a minimum guarantee (2003)Judgment under Uncertainty: Heuristics and Biases (1975)Prospect theory: An analysis of decision under risk (1988)Loss Aversion in Riskless Choice: A Reference-Dependent Model (1991)Individual differences in reasoning: Implications for the rationality debate? (2000)A perspective on judgment and choice: Mapping bounded rationality. (2003)Does Option Compensation Increase Managerial Risk Appetite? (2000)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)Brownian Motion and Stochastic Calculus (2007)Risk Aversion in the Small and in the Large (1976)On the Shape of the Probability Weighting Function (1999)Developments in Non-Expected Utility Theory: The Hunt for a Descriptive Theory of Choice under Risk (2000)Risk as feelings. (2001)Static portfolio choice under cumulative prospect theory (2010)Time-Inconsistent Stochastic Linear--Quadratic Control (2012)Theory of games and economic behavior (2019)Risk, Ambiguity, and the Savage Axioms (1961)Parameter-Free Elicitation of Utility and Probability Weighting Functions (2000)The impact of sleep deprivation on decision making: A review. (2000)Bringing the Frame Into Focus: The Influence of Regulatory Fit on Processing Fluency and Persuasion. (2004)OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY (2013)Optimal insurance under rank‐dependent utility and incentive compatibility (2018)Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan (2019)The Framing of Decisions and the Psychology of Choice (1981)Explicating dynamic capabilities: the nature and microfoundations of (sustainable) enterprise performance (2007)
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References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1998The Probability Weighting Function1,998 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited
  • 1987Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon1,106 cited
  • 1995Weighing risk and uncertainty.935 cited
  • 1986A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios540 cited
  • 2008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME316 cited
  • 1991A variational problem arising in financial economics229 cited
  • 2010PORTFOLIO CHOICE VIA QUANTILES177 cited
  • 2007A CONVEX STOCHASTIC OPTIMIZATION PROBLEM ARISING FROM PORTFOLIO SELECTION113 cited
  • 2013Optimal stopping under probability distortion49 cited

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  • 2017Risk management with weighted VaR34 cited
  • 2014A new characterization of comonotonicity and its application in behavioral finance33 cited
  • 2019Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion

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27 cited
  • 2019On the construction of optimal payoffs26 cited
  • 2018Optimal Underwriting Contracts in Securities Issuance Under Rank-Dependent Expected Utility0 cited