Portfolio optimization with behavioural preferences and investor memory

DOI10.1016/J.EJOR.2021.04.044MaRDI QIDQ2239976zbMATH OpenOpenAlexFDO

Authors Richard D. F. Harris, Murat Mazibas

Publication date 5 November 2021

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

Full work available at URL https://doi.org/10.1016/j.ejor.2021.04.044

zbMATH Keywords

cumulative prospect theorybehavioural financeportfolio optimisationinvestor memorynaïve investment strategy

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16)

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Cites work

• scientific article; zbMATH DE number 2128220 (Why is no real title available?)
• 60 years of portfolio optimization: practical challenges and current trends
• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• Advances in prospect theory: cumulative representation of uncertainty
• Behavioral mean-variance portfolio selection
• Computational aspects of prospect theory with asset pricing applications
• Computing efficient frontiers using estimated parameters
• Naive versus optimal diversification: tail risk and performance
• Parameter-Free Elicitation of Utility and Probability Weighting Functions
• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
• Portfolio optimization under loss aversion
• Prospect Theory: An Analysis of Decision under Risk
• Prospect theory and asset prices
• Safety First and the Holding of Assets
• Scatter search and local NLP solvers: a multistart framework for global optimization
• The Probability Weighting Function
• The framing of decisions and the psychology of choice

Cited in

(6)

• Optimal investment problem under behavioral setting: a Lagrange duality perspective
• Portfolio decisions and brain reactions via the CEAD method
• Risk-sensitive portfolio optimization with two-factor having a memory effect
• Another look at portfolio optimization with mental accounts
• Portfolio optimization using elliptic entropy and semi-entropy of coherent fuzzy numbers
• The impact of ambiguity on dynamic portfolio selection in the epsilon-contaminated binomial market model

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