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Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion
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Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion (2019)Forward Rank-Dependent Performance Criter…Stocks as Lotteries: The Implications of Probability Weighting for Security Prices (2008)Stocks as Lotteries: The Impl…PROBABILITY WEIGHTING FUNCTION (2005)PROBABILITY WEIGHTING FUNCTIONHousehold Portfolio Diversification: A Case for Rank-Dependent Preferences (2005)Household Portfolio Diversifi…Subjective probability and expected utility without additivity (2004)Subjective probability and ex…A Class of Distortion Operators for Pricing Financial and Insurance Risks (2000)A Class of Distortion Operato…Stochastic Controls (1999)Stochastic ControlsStochastic controls : Hamiltonian systems and HJB equations (1999)Stochastic controls : Hamilto…The Probability Weighting Function (1998)The Probability Weighting Fun…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Generalized Expected Utility Theory. The Rank-Dependent Model (1996)Generalized Expected Utility …Weighing risk and uncertainty. (1995)Weighing risk and uncertainty.Generalized Expected Utility Theory (1993)Generalized Expected Utility …Advances in prospect theory: Cumulative representation of uncertainty (1992)Advances in prospect theory: …First order versus second order risk aversion (1990)First order versus second ord…Subjective Probability and Expected Utility without Additivity (1989)Subjective Probability and Ex…A theory of anticipated utility (1982)A theory of anticipated utili…Judgment under Uncertainty: Heuristics and Biases (1975)Prospect Theory: An Analysis of Decision under Risk (1979)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)RATIONAL CHOICE AND THE FRAMING OF DECISIONS (1988)Theory of games and economic behavior (2019)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)Utility Theory for Decision Making (1971)The Dual Theory of Choice under Risk (1987)Psychology and Economics (1997)Parameter-Free Elicitation of Utility and Probability Weighting Functions (2000)Salience Theory of Choice Under Risk (2012)Choices, Values, and Frames (2013)Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework (2000)G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type (2007)Nonlinear Expectations and Stochastic Calculus under Uncertainty (2019)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)A Smooth Model of Decision Making under Ambiguity (2005)Expected Idiosyncratic Skewness (2009)Maxing out: Stocks as lotteries and the cross-section of expected returns (2010)Arbitrage Asymmetry and the Idiosyncratic Volatility Puzzle (2015)Stochastic Linear Quadratic Regulators with Indefinite Control Weight Costs. II (2000)Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model (2003)CONTINUOUS‐TIME MEAN‐VARIANCE PORTFOLIO SELECTION WITH BANKRUPTCY PROHIBITION (2005)
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References

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  • 1998The Probability Weighting Function1,998 cited
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  • 2008Stocks as Lotteries: The Implications of Probability Weighting for Security Prices1,548 cited
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  • 1990First order versus second order risk aversion

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