Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
From MaRDI portal
Publication:3005682
DOI10.1287/mnsc.1100.1269zbMath1214.91099OpenAlexW3124876424MaRDI QIDQ3005682
Publication date: 9 June 2011
Published in: Management Science (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/62b57b7feb6d33d653c95f29700da7b8279b573e
well-posednessloss aversionreference pointportfolio choicesingle periodcumulative prospect theoryprobability weightingS-shaped utility function
Related Items (80)
The consumption-investment decision of a prospect theory household: a two-period model ⋮ No-arbitrage and optimal investment with possibly non-concave utilities: a measure theoretical approach ⋮ The modern tontine. An innovative instrument for longevity risk management in an aging society ⋮ Portfolio choice in the model of expected utility with a safety-first component ⋮ How Endogenization of the Reference Point Affects Loss Aversion: A Study of Portfolio Selection ⋮ Optimal execution with price impact under cumulative prospect theory ⋮ Network models to improve robot advisory portfolios ⋮ Dynamic Trading with Reference Point Adaptation and Loss Aversion ⋮ Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function ⋮ S-shaped narrow framing, skewness and the demand for insurance ⋮ Optimal management of DC pension plan under loss aversion and value-at-risk constraints ⋮ Equilibrium asset pricing with Epstein-Zin and loss-averse investors ⋮ Discrete-time behavioral portfolio selection under cumulative prospect theory ⋮ Portfolio selection with consumption ratcheting ⋮ PRICING IN REINSURANCE BARGAINING WITH COMONOTONIC ADDITIVE UTILITY FUNCTIONS ⋮ Conditional optimal stopping: a time-inconsistent optimization ⋮ Financial market equilibria with heterogeneous agents: CAPM and market segmentation ⋮ Utility maximization with a given pricing measure when the utility is not necessarily concave ⋮ Mean-variance target-based optimisation for defined contribution pension schemes in a stochastic framework ⋮ Goal-based portfolio choice model with discounted preference ⋮ Stochastic dominance tests ⋮ Optimal Investment with Nonconcave Utilities in Discrete-Time Markets ⋮ Optimal investment with transaction costs under cumulative prospect theory in discrete time ⋮ Optimal investment problem under behavioral setting: a Lagrange duality perspective ⋮ Portfolio Optimization within a Wasserstein Ball ⋮ Skorohod's Representation Theorem and Optimal Strategies for Markets with Frictions ⋮ Risk-Seeking Behavior and Its Implications for the Optimal Decision Making of Annuity Insurers ⋮ Reference Dependence and Market Participation ⋮ Loss aversion with multiple investment goals ⋮ Multi-stock portfolio optimization under prospect theory ⋮ Analytical approximation for distorted expectations ⋮ Dynamic portfolio choice and asset pricing with narrow framing and probability weighting ⋮ Behavioral portfolio selection with loss control ⋮ An uncertain furniture production planning problem with cumulative service levels ⋮ SENSITIVITY ANALYSIS OF NONLINEAR BEHAVIOR WITH DISTORTED PROBABILITY ⋮ Optimal Portfolio Selection for an Investor with Asymmetric Attitude to Gains and Losses ⋮ An analytical approach for behavioral portfolio model with time discounting preference ⋮ Failing to Foresee the Updating of the Reference Point Leads to Time-Inconsistent Investment ⋮ OPTIMAL INVESTMENT IN HEDGE FUNDS UNDER LOSS AVERSION ⋮ Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study ⋮ Triangular intuitionistic fuzzy random decision making based on combination of parametric estimation, score functions, and prospect theory ⋮ Optimal portfolio choice for a behavioural investor in continuous-time markets ⋮ Research on the portfolio model based on mean-MF-DCCA under multifractal feature constraint ⋮ Some properties of the optimal investment strategy in a behavioral portfolio choice model ⋮ Computational Models for Cumulative Prospect Theory: Application to the Knapsack Problem Under Risk ⋮ PROFIT SHARING IN HEDGE FUNDS ⋮ Cumulative Prospect Theory with Generalized Hyperbolic Skewed $t$ Distribution ⋮ Non-concave utility maximisation on the positive real axis in discrete time ⋮ Portfolio optimization with behavioural preferences and investor memory ⋮ A belief-dependent utility model ⋮ Asset allocation: new evidence through network approaches ⋮ Prospect-theoretic Q-learning ⋮ Existence of solutions in non-convex dynamic programming and optimal investment ⋮ A commuter departure-time model based on cumulative prospect theory ⋮ The impact of a reference point determined by social comparison on wealth growth and inequality ⋮ Stochastic maximum principle on a continuous-time behavioral portfolio model ⋮ Inverse S-shaped probability weighting and its impact on investment ⋮ ARROW–DEBREU EQUILIBRIA FOR RANK‐DEPENDENT UTILITIES ⋮ Prospect theory for continuous distributions: a preference foundation ⋮ Optimal investment and benefit payment strategy under loss aversion for target benefit pension plans ⋮ ON OPTIMAL INVESTMENT FOR A BEHAVIORAL INVESTOR IN MULTIPERIOD INCOMPLETE MARKET MODELS ⋮ OPTIMAL INSURANCE DESIGN UNDER RANK‐DEPENDENT EXPECTED UTILITY ⋮ HOPE, FEAR, AND ASPIRATIONS ⋮ BEHAVIORAL PORTFOLIO SELECTION: ASYMPTOTICS AND STABILITY ALONG A SEQUENCE OF MODELS ⋮ Dynamic safety first expected utility model ⋮ Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models ⋮ Income drawdown option with minimum guarantee ⋮ Stochastic maximum principle under probability distortion ⋮ On the investment direction of a behavioral portfolio choice model ⋮ Comparing risks with reference points: a stochastic dominance approach ⋮ Optimal Exit Time from Casino Gambling: Strategies of Precommitted and Naive Gamblers ⋮ Betting market equilibrium with heterogeneous beliefs: a prospect theory-based model ⋮ Myopic loss aversion, reference point, and money illusion ⋮ The participation puzzle with reference-dependent expected utility preferences ⋮ Optimal frequency of portfolio evaluation in a choice experiment with ambiguity and loss aversion ⋮ A study of decision process in MCDM problems with large number of criteria ⋮ BEHAVIORAL PORTFOLIO CHOICE UNDER HYPERBOLIC ABSOLUTE RISK AVERSION ⋮ The optimal insurance policy for the general fixed cost of handling an indemnity under rank-dependent expected utility ⋮ A matching method for second-hand goods exchange considering loss aversion of buyer and seller in e-brokerage ⋮ Downside loss aversion: winner or loser?
This page was built for publication: Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
