Lvning Yuan

• University of Science and Technology of China

This paper studies the optimal investment problem with an option compensation scheme under rank-dependent expected utilities. Due to the presence of distortion functions and a nonconcave actual utility function, the conventional optimization tools like convex optimization and dynamic programming cannot be applied to this model. To address this chal...

In this paper, we consider the optimal investment problem with both probability distortion/weighting and general non-concave utility functions with possibly finite number of inflection points, and apply a Lagrange duality based relaxation approach for solving this problem. Existing literature has shown the equivalent relationships (strong duality)...

In this paper, we consider the optimal investment problem with both probability distor-tion/weighting and general non-concave utility functions with possibly finite number of inflection points, and propose a general approach for solving this problem. Existing literature has shown the equivalent relationships (strong duality) between the concavified...

In this paper, we consider the optimal investment problem with both probability distor- tion/weighting and general non-concave utility functions with possibly finite number of inflection points. Our model contains the model under cumulative prospect theory (CPT) as a special case, which has inverse S-shaped probability weighting and S-shaped utilit...

In this paper, we consider the optimal investment problem with both probability distor- tion/weighting and general non-concave utility functions with possibly finite number of inflection points. Our model contains the model under cumulative prospect theory (CPT) as a special case, which has inverse S-shaped probability weighting and S-shaped utilit...