This paper analyzes the optimal investment policies of rank-dependent utility maximizing investor who must manage the risk exposure using a general law- invariant risk measure such as Value-at-Risk and tail Value-at-Risk. The analytic optimal solution is obtained via the so-called quantile...

This paper studies a new type of quantile optimization problems arising from insurance contract design models. This type of optimization problems is characterized by a constraint of infinity-dimension, that is, the derivatives of the decision quantile functions are bounded. Such a constraint...

This paper investigates two optimal portfolio selection problems for a rank-dependent utility investor who needs to manage his risk exposure: one with a single Value-at-Risk (VaR) constraint and the other with joint VaR and portfolio insurance constraints. The two models generalize existing...