Multi-stock portfolio optimization under prospect theory
From MaRDI portal
Publication:1938996
DOI10.1007/s11579-012-0079-0zbMath1260.91231MaRDI QIDQ1938996
Traian A. Pirvu, Klaas Schulze
Publication date: 26 February 2013
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://infoscience.epfl.ch/record/269614/files/11579_2012_Article_79.pdf
90C90: Applications of mathematical programming
91G80: Financial applications of other theories
91G10: Portfolio theory
Related Items
Prospect theory–based portfolio optimization: an empirical study and analysis using intelligent algorithms, Optimal Portfolio Selection for an Investor with Asymmetric Attitude to Gains and Losses, Cumulative Prospect Theory with Generalized Hyperbolic Skewed $t$ Distribution, Unnamed Item, How Endogenization of the Reference Point Affects Loss Aversion: A Study of Portfolio Selection, Myopic loss aversion, reference point, and money illusion, Portfolio optimization with disutility-based risk measure, Discrete-time behavioral portfolio selection under cumulative prospect theory, Optimal investment with transaction costs under cumulative prospect theory in discrete time, Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study, Some properties of the optimal investment strategy in a behavioral portfolio choice model, The impact of a reference point determined by social comparison on wealth growth and inequality, On the investment direction of a behavioral portfolio choice model, BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS, OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- A characterization of the distributions that imply mean-variance utility functions
- Advances in prospect theory: cumulative representation of uncertainty
- Testing theories of choice under risk: Estimation of individual functionals
- An index of loss aversion
- Hyperbolic distributions in finance
- Static portfolio choice under cumulative prospect theory
- Risk, Ambiguity, and the Savage Axioms
- Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
- Normal Variance-Mean Mixtures and z Distributions
- Prospect Theory: An Analysis of Decision under Risk
- Curvature of the Probability Weighting Function
- Myopic Loss Aversion and the Equity Premium Puzzle
- Portfolio optimization for studenttand skewedtreturns
- Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine