no code implementations • 1 Dec 2020 • Xue Dong He, Zhaoli Jiang
We consider portfolio optimization under a preference model in a single-period, complete market.
no code implementations • 24 Aug 2020 • Xue Dong He, Zhaoli Jiang, Steven Kou
Although maximizing median and quantiles is intuitively appealing and has an axiomatic foundation, it is difficult to study the optimal portfolio strategy due to the discontinuity and time inconsistency in the objective function.