We consider a class of law invariant utilities which contains the Rank Dependent Expected Utility (RDU) and the cumulative prospect theory (CPT). We show that the computation of demand for a contingent claim when utilities are within that class, although not as simple as in the Expected Utility...

We propose a general sequential Monte Carlo approach for optimization of pseudo-Boolean objective functions. There are three aspects we particularly address in this work. First, we give a unified approach to stochastic optimization based on sequential Monte Carlo techniques, including the...