Experimental studies show that people's risk preferences depend non-linearly on probabilities, but relatively little is … of investors who maximize rank-dependent utility in a single-period complete market. We prove that investors with a less … risk averse preference relation in general choose a more risky final wealth distribution, receiving a risk premium in …

portability risks, whereas DC plans bear asset and contribution risk. We model these diff erences explicitly in this paper and … compare these two plans in a utility based framework. Our numerical analysis focuses on determining the critical job switching …

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 … control the risk exposure when he/she has not enough money to invest or the constraint is very restrictive …

function of the group.s wealth level, or equivalently, that the representative agent has a state-dependent utility function. We … degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …