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A new characterization of comonotonicity and its application in behavioral finance
16 references·2 citing·33 second hop
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References

  • 1979Prospect Theory: An Analysis of Decision under Risk48,459 cited
  • 1988Prospect theory: An analysis of decision under risk32,475 cited
  • 1992Advances in prospect theory: Cumulative representation of uncertainty15,457 cited
  • 1987Between Hope and Fear: The Psychology of Risk1,174 cited
  • 2002The concept of comonotonicity in actuarial science and finance: theory634 cited
  • 2002The concept of comonotonicity in actuarial science and finance: applications398 cited
  • 2008BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME316 cited
  • 2010PORTFOLIO CHOICE VIA QUANTILES177 cited
  • 1999Reaching goals by a deadline: digital options and continuous-time active portfolio management124 cited
  • 2011Advanced Mathematical Methods for Finance115 cited
  • 2000Risk-Constrained Dynamic Active Portfolio Management105 cited
  • 1978Realization of Choice Functions97 cited
  • 1993Optimal Control of Favorable Games with a Time Limit78 cited
  • 2011An Overview of Comonotonicity and Its Applications in Finance and Insurance74 cited
  • 2016OPTIMAL STOPPING UNDER PROBABILITY DISTORTION66 cited
  • 2014

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A NOTE ON THE QUANTILE FORMULATION
65 cited

Cited by

  • 2017Risk management with weighted VaR34 cited
  • 2019On the construction of optimal payoffs26 cited