@article{hu:hal-02624308,
TITLE = {Consistent Investment of Sophisticated Rank-Dependent Utility Agents in Continuous Time},
AUTHOR = {Hu, Ying and Jin, Hanqing and Zhou, Xun Yu},
URL = {https://hal.science/hal-02624308},
JOURNAL = {Mathematical Finance},
PUBLISHER = {Wiley},
YEAR = {2021},
MONTH = May, KEYWORDS = {Rank-dependent utility ; probability weighting ; portfolio selection ; con- tinuous time ; time inconsistency ; intra-personal equilibrium strategy ; market price of risk},
PDF = {https://hal.science/hal-02624308/file/submission.pdf},
HAL_ID = {hal-02624308},
HAL_VERSION = {v1},
}