Portfolio Choice Via Quantiles
A portfolio choice model in continuous time is formulated for both complete and incomplete markets, where the quantile function of the terminal cash flow, instead of the cash flow itself, is taken as the decision variable. This formulation covers a wide body of existing and new models with law-invar...
| Autors principals: | , |
|---|---|
| Format: | Journal article |
| Idioma: | English |
| Publicat: |
2011
|