Peizhen Ding

Chinese Academy of Sciences (CAS)

52 Sanlihe Rd.

Datun Road, Anwai

Beijing, Xicheng District 100864

China

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Scholarly Papers (1)

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Rank-Dependent Utility Maximization Under Risk Exposure Constraint

Number of pages: 22 Posted: 09 Mar 2018
Peizhen Ding and Zuo Quan Xu
Chinese Academy of Sciences (CAS) and Hong Kong Polytechnic University
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Abstract:

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Rank-dependent utility theory, probability distortion/weighting function, quantile formulation, VaR, tail VaR, relaxation method