Portfolio optimization with behavioural preferences and investor memory

DOI10.1016/J.EJOR.2021.04.044zbMATH Open1487.91118OpenAlexW3158410018MaRDI QIDQ2239976FDOQ2239976

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

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zbMATH Keywords

cumulative prospect theorybehavioural financeportfolio optimisationinvestor memorynaïve investment strategy

Mathematics Subject Classification ID

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

Cites Work

• A generalized approach to portfolio optimization: improving performance by constraining portfolio norms
• The Probability Weighting Function
• Advances in prospect theory: cumulative representation of uncertainty
• Parameter-Free Elicitation of Utility and Probability Weighting Functions
• Prospect Theory: An Analysis of Decision under Risk
• Scatter search and local NLP solvers: a multistart framework for global optimization
• The framing of decisions and the psychology of choice
• Computing efficient frontiers using estimated parameters
• Safety First and the Holding of Assets
• Prospect theory and asset prices
• 60 years of portfolio optimization: practical challenges and current trends
• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
• Title not available (Why is that?)
• Behavioral mean-variance portfolio selection
• Portfolio optimization under loss aversion
• Computational aspects of prospect theory with asset pricing applications
• Naive versus optimal diversification: tail risk and performance

Cited In (6)

• Optimal investment problem under behavioral setting: a Lagrange duality perspective
• Portfolio decisions and brain reactions via the CEAD method
• Another look at portfolio optimization with mental accounts
• Risk-sensitive portfolio optimization with two-factor having a memory effect
• 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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