Optimal portfolio selection for an investor with asymmetric attitude to gains and losses

DOI10.1007/978-3-319-50234-2_13MaRDI QIDQ4609758zbMATH OpenOpenAlexFDO

Authors Andrew A. Khomchenko, Sergei P. Sidorov, Sergei V. Mironov

Publication date 26 March 2018

Published in Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-3-319-50234-2_13

zbMATH Keywords

cumulative prospect theory (CPT)optimal portfolio selection

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 3106184 (Why is no real title available?)
• A Behavioural Approach to the Pricing of European Options
• Advances in prospect theory: cumulative representation of uncertainty
• Changes in Background Risk and Risk Taking Behavior
• Discrete-time behavioral portfolio selection under cumulative prospect theory
• Multi-stock portfolio optimization under prospect theory
• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
• Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
• Prospect Theory: An Analysis of Decision under Risk
• Prospect theory-based portfolio optimization: an empirical study and analysis using intelligent algorithms
• Static portfolio choice under cumulative prospect theory

Cited in

(6)

• Static portfolio choice under cumulative prospect theory
• Portfolios choices under cumulative prospect theory in the case of discrete distribution
• Optimal Asset Allocation for Passive Investing with Capital Loss Harvesting
• Cumulative prospect theory with generalized hyperbolic skewed \(t\) distribution
• SP/A and CPT: A reconciliation of two behavioral decision theories
• Optimal investment with transaction costs under cumulative prospect theory in discrete time

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