Multi-stock portfolio optimization under prospect theory

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

zbMATH Keywords

elliptical distributionsprospect theorytwo-fund separationportfolio allocation

Mathematics Subject Classification ID

90C90: Applications of mathematical programming

91G80: Financial applications of other theories

91G10: Portfolio theory

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