Consistent investment of sophisticated rank‐dependent utility agents in continuous time
Consistent investment of sophisticated rank‐dependent utility agents in continuous time
Abstract 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 a sophisticated consistent planners who seek (subgame perfect) intra‐personal equilibrium strategies. …