Optimal portfolio selection for an investor with asymmetric attitude to gains and losses
DOI10.1007/978-3-319-50234-2_13zbMATH Open1383.91003OpenAlexW2781351222MaRDI QIDQ4609758FDOQ4609758
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
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Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)
Cites Work
- Title not available (Why is that?)
- Advances in prospect theory: cumulative representation of uncertainty
- Prospect Theory: An Analysis of Decision under Risk
- Changes in Background Risk and Risk Taking Behavior
- Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
- Multi-stock portfolio optimization under prospect theory
- Static portfolio choice under cumulative prospect theory
- Discrete-time behavioral portfolio selection under cumulative prospect theory
- Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
- Prospect theory-based portfolio optimization: an empirical study and analysis using intelligent algorithms
- A Behavioural Approach to the Pricing of European Options
Cited In (6)
- 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
- Static portfolio choice under cumulative prospect theory
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