Behavioral portfolio optimization with social reference point

DOI10.1007/978-3-319-18161-5_23MaRDI QIDQ5356991zbMATH OpenOpenAlexFDO

Authors Y. Shi, Duan Li, Xiangyu Cui

Publication date 12 September 2017

Published in Advances in Intelligent Systems and Computing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-18161-5_23

zbMATH Keywords

portfolio optimizationreference pointprospect theorysocial comparisonrelative wealth concern

Mathematics Subject Classification ID

Portfolio theory (91G10) Financial applications of other theories (91G80)

Recommendations

• Multi-stock portfolio optimization under prospect theory
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
• Discrete-time behavioral portfolio selection under cumulative prospect theory
• Reference dependence and market participation
• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment

Cites work

• Advances in prospect theory: cumulative representation of uncertainty
• BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
• Dynamic trading with reference point adaptation and loss aversion
• Prospect Theory: An Analysis of Decision under Risk

Cited in

(3)

• Markowitz revisited: social portfolio engineering
• The impact of a reference point determined by social comparison on wealth growth and inequality
• Tracking error decision rules and accumulated wealth

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