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q-fin.PM2013
Optimal Payoffs under State-dependent Preferences
Carole Bernard, Franck Moraux, Ludger Rueschendorf +1
Most decision theories, including expected utility theory, rank dependent utility theory and cumulative prospect theory, assume that investors are only interested in the distributi…
q-fin.PM2013★ 2 cited
Rationalizing Investors Choice
Carole Bernard, Jit Seng Chen, Steven Vanduffel
Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal in…