2 papers
q-fin.MF2020
Optimal Payoff under the Generalized Dual Theory of Choice
Xue Dong He, Zhaoli Jiang
We consider portfolio optimization under a preference model in a single-period, complete market. This preference model includes Yaari's dual theory of choice and quantile maximizat…
q-fin.MF2020
Portfolio Selection under Median and Quantile Maximization
Xue Dong He, Zhaoli Jiang, Steven Kou
Although maximizing median and quantiles is intuitively appealing and has an axiomatic foundation, it is difficult to study the optimal portfolio strategy due to the discontinuity…