Optimization models for cumulative prospect theory under incomplete preference information

DOI10.1016/J.EJOR.2025.08.013MaRDI QIDQ7233153zbMATH OpenFDO

Authors Peng Xu, Juuso Liesiö

Publication date 24 April 2026

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.EJOR.2025.08.013

zbMATH Keywords

cumulative prospect theorydecision analysisincomplete preference informationstochastic dominancestochastic optimization

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites work

• Advances in prospect theory: cumulative representation of uncertainty
• Behavioral dynamic portfolio selection with S-shaped utility and epsilon-contaminations
• Bi-objective multi-mode project scheduling under risk aversion
• Contingent Portfolio Programming for the Management of Risky Projects
• Flexible enhanced indexation models through stochastic dominance and ordered weighted average optimization
• scientific article; zbMATH DE number 3106184 (Why is no real title available?)
• Incomplete risk-preference information in portfolio decision analysis
• Individual optimal pension allocation under stochastic dominance constraints
• On exact and approximate stochastic dominance strategies for portfolio selection
• Optimization with Stochastic Dominance Constraints
• Portfolio diversification based on stochastic dominance under incomplete probability information
• Portfolio optimization with behavioural preferences and investor memory
• Prospect theory. For risk and ambiguity.
• Prospect Theory: An Analysis of Decision under Risk
• Stochastic dominance and prospect dominance with subjective weighting functions
• The Efficiency Analysis of Choices Involving Risk

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