Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time
Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time
We study portfolio selection in a complete continuous-time market where the preference is dictated by the rank-dependent utility. As such a model is inherently time inconsistent due to the underlying probability weighting, we study the investment behavior of sophisticated consistent planners who seek (subgame perfect) intra-personal equilibrium strategies. We provide …