Cover Image

A Rank-Dependent Theory for Decision under Risk and Ambiguity

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Laeven, Roger J. A., Stadje, Mitja
Format:	Preprint
Published:	2023
Subjects:	Optimization and Control Probability Risk Management 91B06, 91B16
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Higher-Order Ambiguity Attitudes
by: Aygün, Mücahit, et al.
Published: (2025)

On Geometrically Convex Risk Measures
by: Aygün, Mücahit, et al.
Published: (2024)

Geometric BSDEs
by: Laeven, Roger J. A., et al.
Published: (2024)

Measuring Financial Resilience Using Backward Stochastic Differential Equations
by: Laeven, Roger J. A., et al.
Published: (2025)

How much should we care about what others know? Jump signals in optimal investment under relative performance concerns
by: Bank, Peter, et al.
Published: (2025)

Robust Optimization of Rank-Dependent Models with Uncertain Probabilities
by: Jin, Guanyu, et al.
Published: (2025)

Dynamic risk measures for fluctuations in market volatility under Bochner-Lebesgue spaces
by: Sun, Fei, et al.
Published: (2018)

Constructing Uncertainty Sets for Robust Risk Measures: A Composition of $ϕ$-Divergences Approach to Combat Tail Uncertainty
by: Jin, Guanyu, et al.
Published: (2024)

Optimal Capital Structure for Life Insurance Companies Offering Surplus Participation
by: Fießinger, Felix, et al.
Published: (2025)

Portfolio optimization in incomplete markets and price constraints determined by maximum entropy in the mean
by: Arratia, Argimiro, et al.
Published: (2025)

Robust optimal consumption, investment and reinsurance for recursive preferences
by: Dadzie, Elizabeth, et al.
Published: (2025)

Generalized Families of Fractional Stochastic Dominance
by: Azmoodeh, Ehsan, et al.
Published: (2023)

Assessing solution quality in risk-averse stochastic programs
by: van Beesten, E. Ruben, et al.
Published: (2024)

Holistic Decision-Making in Stopping Problems: Emphasizing Psychological Aspects
by: Sofronov, Georgy, et al.
Published: (2026)

Risk sharing with Lambda value at risk under heterogeneous beliefs
by: Liu, Peng, et al.
Published: (2024)

Quantifying Crypto Portfolio Risk: A Simulation-Based Framework Integrating Volatility, Hedging, Contagion, and Monte Carlo Modeling
by: Firouzi, Kiarash
Published: (2025)

Decision making in stochastic extensive form I: Stochastic decision forests
by: Rapsch, E. Emanuel
Published: (2024)

Decision making in stochastic extensive form II: Stochastic extensive forms and games
by: Rapsch, E. Emanuel
Published: (2024)

An $α$-potential game framework for $N$-player dynamic games
by: Guo, Xin, et al.
Published: (2024)

Global Independence of Irrelevant Alternatives, State-Salient Decision Rules and the Strict Condorcet Choice Function
by: Lahiri, Somdeb
Published: (2025)

Standardized Measurement Approach (SMA) vs Advanced Measurement Approaches (AMA): A Critical Review of Approaches in Operational Risk
by: Cruzado, Omar Briceno
Published: (2025)

Extended Convolution Bounds on the Fréchet Problem: Robust Risk Aggregation and Risk Sharing
by: Liu, Peng, et al.
Published: (2025)

Pareto-optimal reinsurance under dependence uncertainty
by: Boonen, Tim J., et al.
Published: (2025)

Risk Management with Tail Quasi-Linear Means
by: Bäuerle, Nicole, et al.
Published: (2019)

Quantiles under ambiguity and risk sharing
by: Liu, Peng, et al.
Published: (2024)

Robust Portfolio Selection under State-dependent Confidence Set
by: Guan, Guohui, et al.
Published: (2024)

Asymptotics of Ruin Probabilities in a Subordinated Cramér-Lundberg Model
by: Klinge, Jonathan, et al.
Published: (2026)

Task Allocation for Multi-agent Systems via Unequal-dimensional Optimal Transport
by: Dong, Anqi, et al.
Published: (2025)

Distributed games with jumps: An $α$-potential game approach
by: Guo, Xin, et al.
Published: (2025)

Dynamic Pareto Optima in Multi-Period Pure-Exchange Economies
by: Tam, Brandon, et al.
Published: (2026)

Risk Aggregation and Allocation in the Presence of Systematic Risk via Stable Laws
by: Fleck, Andrew, et al.
Published: (2024)

Time-Consistent Asset Allocation for Risk Measures in a Lévy Market
by: Fießinger, Felix, et al.
Published: (2023)

Dynamic Lagrange Multipliers in a Non-concave Utility Framework
by: Liu, Yang, et al.
Published: (2026)

General bounds on functionals of the lifetime under life table constraints in a joint actuarial-financial framework
by: Dupret, Jean-Loup, et al.
Published: (2026)

Minimizing Spectral Risk Measures Applied to Markov Decision Processes
by: Bäuerle, Nicole, et al.
Published: (2020)

A General Theory of Risk Sharing
by: Melnikov, Vasily
Published: (2025)

On the Expected Maximum Deficit and the Optimal Allocation of Reserves
by: Lefevre, Claude, et al.
Published: (2026)

PSAHARA Utility Family: Modeling Non-monotone Risk Aversion and Convex Compensation in Incomplete Markets
by: Liu, Yang, et al.
Published: (2024)

On the Foundations of Dynamic Games and Probability: Decision Making in Stochastic Extensive Form
by: Rapsch, E. Emanuel
Published: (2025)

Utility-Invariant Support Selection and Eventwise Decoupling for Simultaneous Independent Multi-Outcome Bets
by: Long, Christopher D.
Published: (2026)