Risk-constrained portfolio choice under rank-dependent utility
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DOI: 10.1007/s00780-024-00555-z
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Keywords
; ; ; ; ;JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D89 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Other
- D90 - Microeconomics - - Micro-Based Behavioral Economics - - - General
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G40 - Financial Economics - - Behavioral Finance - - - General
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