In this paper we study the portfolio selection problem under cumulative prospect theory (CPT), both from a theoretical and empirical point of view. Our aim is twofold. First, we study through a simulation-based procedure, the implication of higher-moments and CPT parameters on Mean/Risk...

In the present paper we develop an asymptotic expansion method for a suitable class of stochastic differential equation, using methods by S. Watanabe (1987) (see also Ikeda and Watanabe (1989) and Lutkebohmert (2004)). Such asymptotic expansion is calculated around the multidimensional...

Quite recently, a great interest has been devoted to time-consistency of risk measures in its different formulations (see Delbaen, Follmer and Penner, Bion-Nadal, Delbaen et al., Laeven and Stadje, among many others). However, almost all the papers address to coherent or convex risk measures...

In this paper, we focus on the portfolio optimization problem associated to a quasiconvex risk measure (satisfying some additional assumptions). For coherent/convex risk measures, the portfolio optimization problem has been already studied by Gaivoronski and Pflug (2005), Rockafellar and Uryasev...

Pareto optimal allocations and optimal risk sharing for coherent or convex risk measures as well as for insurance prices have been studied widely in the literature. In particular, Pareto optimal allocations have been characterized by applying inf-convolution of risk measures and convex...

We study a reaction–diffusion evolution equation perturbed by a space–time Lévy noise. The associated Kolmogorov operator is the sum of the infinitesimal generator of a C0-semigroup of strictly negative type acting on a Hilbert space and a nonlinear term which has at most polynomial growth,...