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A Note On The Quantile Formulation

Citations

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Cited by:

  1. Yichun Chi & Zuo Quan Xu & Sheng Chao Zhuang, 2022. "Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk," North American Actuarial Journal, Taylor & Francis Journals, vol. 26(3), pages 351-382, August.
  2. Zuo Quan Xu, 2018. "Pareto optimal moral-hazard-free insurance contracts in behavioral finance framework," Papers 1803.02546, arXiv.org, revised Aug 2021.
  3. Mi, Hui & Xu, Zuo Quan, 2023. "Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory," Insurance: Mathematics and Economics, Elsevier, vol. 110(C), pages 82-105.
  4. Carole Bernard & Gero Junike & Thibaut Lux & Steven Vanduffel, 2024. "Cost-efficient payoffs under model ambiguity," Finance and Stochastics, Springer, vol. 28(4), pages 965-997, October.
  5. Zuo Quan Xu & Fahuai Yi, 2019. "Optimal redeeming strategy of stock loans under drift uncertainty," Papers 1901.06680, arXiv.org.
  6. Xue Dong He & Zhaoli Jiang, 2020. "Optimal Payoff under the Generalized Dual Theory of Choice," Papers 2012.00345, arXiv.org.
  7. Pengyu Wei & Zuo Quan Xu, 2021. "Dynamic growth-optimum portfolio choice under risk control," Papers 2112.14451, arXiv.org.
  8. Zongxia Liang & Yang Liu & Litian Zhang, 2025. "A framework of state-dependent utility optimisation with general benchmarks," Finance and Stochastics, Springer, vol. 29(2), pages 469-518, April.
  9. Jiaqin Wei & Jianming Xia & Qian Zhao, 2024. "Time-Consistent Portfolio Selection for Rank-Dependent Utilities in an Incomplete Market," Papers 2409.19259, arXiv.org.
  10. Li, Yan & Mi, Hui, 2021. "Portfolio optimization under safety first expected utility with nonlinear probability distortion," Chaos, Solitons & Fractals, Elsevier, vol. 147(C).
  11. Xue Dong He & Moris S. Strub & Thaleia Zariphopoulou, 2019. "Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion," Papers 1904.01745, arXiv.org.
  12. Mario Ghossoub & Michael Boyuan Zhu, 2025. "Risk-constrained portfolio choice under rank-dependent utility," Finance and Stochastics, Springer, vol. 29(2), pages 399-442, April.
  13. Jing Peng & Pengyu Wei & Zuo Quan Xu, 2022. "Relative growth rate optimization under behavioral criterion," Papers 2211.05402, arXiv.org.
  14. Wei, Pengyu & Xu, Zuo Quan, 2025. "Dynamic growth-optimal portfolio choice under risk control," European Journal of Operational Research, Elsevier, vol. 322(1), pages 325-340.
  15. Felix-Benedikt Liebrich & Cosimo Munari, 2022. "Law-Invariant Functionals that Collapse to the Mean: Beyond Convexity," Mathematics and Financial Economics, Springer, volume 16, number 2.
  16. Ghossoub, Mario, 2019. "Budget-constrained optimal insurance without the nonnegativity constraint on indemnities," Insurance: Mathematics and Economics, Elsevier, vol. 84(C), pages 22-39.
  17. Zuo Quan Xu & Fahuai Yi, 2020. "Optimal Redeeming Strategy of Stock Loans Under Drift Uncertainty," Mathematics of Operations Research, INFORMS, vol. 45(1), pages 384-401, February.
  18. Fangyuan Zhang, 2023. "Non-concave portfolio optimization with average value-at-risk," Mathematics and Financial Economics, Springer, volume 17, number 3.
  19. Denis Belomestny & Volker Krätschmer, 2017. "Optimal Stopping Under Probability Distortions," Mathematics of Operations Research, INFORMS, vol. 42(3), pages 806-833, August.
  20. L. Rüschendorf & Steven Vanduffel, 2020. "On the construction of optimal payoffs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 43(1), pages 129-153, June.
  21. Mingyu Xu & Zuo Quan Xu & Xun Yu Zhou, 2022. "$g$-Expectation of Distributions," Papers 2208.06535, arXiv.org.
  22. Bernard, C. & De Gennaro Aquino, L. & Vanduffel, S., 2023. "Optimal multivariate financial decision making," European Journal of Operational Research, Elsevier, vol. 307(1), pages 468-483.
  23. Zuo Quan Xu, 2021. "Moral-hazard-free insurance: mean-variance premium principle and rank-dependent utility theory," Papers 2108.06940, arXiv.org, revised Aug 2022.
  24. Li, Yongwu & Xu, Zuo Quan, 2017. "Optimal insurance design with a bonus," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 111-118.
  25. Felix-Benedikt Liebrich & Cosimo Munari, 2021. "Law-invariant functionals that collapse to the mean: Beyond convexity," Papers 2106.01281, arXiv.org, revised Jul 2021.
  26. Arindam Maity & Koushik Bera & N. Selvaraju, 2025. "Behavioral robust mean-variance portfolio selection with an intractable claim," Mathematics and Financial Economics, Springer, volume 19, number 5.
  27. Jianming Xia, 2023. "Benchmark Beating with the Increasing Convex Order," Papers 2311.01692, arXiv.org.
  28. Yunhong Li & Zuo Quan Xu & Xun Yu Zhou, 2023. "Robust utility maximization with intractable claims," Papers 2304.06938, arXiv.org, revised Jul 2023.
  29. Ghossoub, Mario, 2019. "Optimal insurance under rank-dependent expected utility," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 51-66.
  30. Xue Dong He & Moris S. Strub & Thaleia Zariphopoulou, 2021. "Forward rank‐dependent performance criteria: Time‐consistent investment under probability distortion," Mathematical Finance, Wiley Blackwell, vol. 31(2), pages 683-721, April.
  31. Chen, An & Vanduffel, Steven & Wilke, Morten, 2025. "Optimal payoffs under smooth ambiguity," European Journal of Operational Research, Elsevier, vol. 320(3), pages 754-764.
  32. Bi, Xiuchun & Cui, Zhenyu & Fan, Jiacheng & Yuan, Lvning & Zhang, Shuguang, 2023. "Optimal investment problem under behavioral setting: A Lagrange duality perspective," Journal of Economic Dynamics and Control, Elsevier, vol. 156(C).
  33. Zongxia Liang & Fengyi Yuan, 2021. "Equilibrium master equations for time-inconsistent problems with distribution dependent rewards," Papers 2112.14462, arXiv.org, revised Apr 2022.
  34. Yunhong Li & Zuo Quan Xu & Xun Yu Zhou, 2023. "Robust utility maximisation with intractable claims," Finance and Stochastics, Springer, vol. 27(4), pages 985-1015, October.
  35. Artur Sidorenko, 2025. "Well-posedness of behavioral singular stochastic control problems," Papers 2505.01876, arXiv.org, revised Jul 2025.
  36. Ghossoub, Mario & He, Xue Dong, 2021. "Comparative risk aversion in RDEU with applications to optimal underwriting of securities issuance," Insurance: Mathematics and Economics, Elsevier, vol. 101(PA), pages 6-22.
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