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  1. Dynamic portfolio selection under generalized disappointment aversion
    2024/01/16 by Liang, Zongxia, Wang, Sheng, Xia, Jianming +1 · 1 citation
    #91B08 #91G10 #FOS: Economics and business #Mathematical Finance (q-fin.MF) #Portfolio Management (q-fin.PM)
  2. Time consistency of dynamic risk measures and dynamic performance measures generated by distortion functions
    2023/09/05 by Bielecki, Tomasz R., Cialenco, Igor, Liu, Hao · 1 citation
    #91B08 #FOS: Economics and business #Primary 91B06 #Risk Management (q-fin.RM) #Secondary 91B30