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

Hui Mi, Zuo Quan Xu

Research output: Journal article publicationJournal articleAcademic researchpeer-review

Original languageEnglish
Pages (from-to)1-31
Number of pages31
JournalSIAM Journal on Financial Mathematics
Publication statusE-pub ahead of print - 5 Jul 2021

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