Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory

Research output: Journal article publication › Journal article › Academic research › peer-review

Original language	English
Pages (from-to)	1-31
Number of pages	31
Journal	SIAM Journal on Financial Mathematics
Publication status	Submitted - 5 Jul 2021

More information

@article{43c6a1635aa44850b0dd29748771d2d5,

title = "Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory",

author = "Hui Mi and Xu, {Zuo Quan}",

year = "2021",

month = jul,

day = "5",

language = "English",

pages = "1--31",

journal = "SIAM Journal on Financial Mathematics",

issn = "1945-497X",

publisher = "Society for Industrial and Applied Mathematics Publications",

}