Cumulative prospect theory with generalized hyperbolic skewed t distribution

DOI10.1137/16M1093550MaRDI QIDQ4635242zbMATH OpenFDO

Authors Minsuk Kwak, Traian A. Pirvu

Publication date 16 April 2018

Published in SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/16M1093550

zbMATH Keywords

portfolio optimizationcumulative prospect theorygeneralized hyperbolic skewed \(t\) distributionportfolio fund separation

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Recommendations

• Static portfolio choice under cumulative prospect theory
• Portfolio optimization under a generalized hyperbolic skewed t distribution and exponential utility
• Optimal portfolio selection for an investor with asymmetric attitude to gains and losses
• Multi-stock portfolio optimization under prospect theory
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Cites work

• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• A Stein type lemma for the multivariate generalized hyperbolic distribution
• Advances in prospect theory: cumulative representation of uncertainty
• Hope, fear, and aspirations
• Intermediate Probability
• Le Comportement de l'Homme Rationnel devant le Risque: Critique des Postulats et Axiomes de l'Ecole Americaine
• Loss aversion and the price of risk
• Multi-stock portfolio optimization under prospect theory
• On the Unification of Families of Skew-normal Distributions
• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
• Portfolio optimization for Student \(t\) and skewed \(t\) returns
• Portfolio optimization under a generalized hyperbolic skewed t distribution and exponential utility
• Prospect Theory: An Analysis of Decision under Risk
• Risk, ambiguity and the Savage axioms
• Static portfolio choice under cumulative prospect theory
• The Probability Weighting Function

Cited in

(11)

• Static portfolio choice under cumulative prospect theory
• Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
• Portfolios choices under cumulative prospect theory in the case of discrete distribution
• Exponential utility maximization in small/large financial markets
• Portfolio optimization under the generalized hyperbolic distribution: optimal allocation, performance and tail behavior
• Portfolio optimization with nonlinear loss aversion and transaction costs
• Portfolio optimization under a generalized hyperbolic skewed t distribution and exponential utility
• Prospect theory and fat tails
• Optimal portfolio selection for an investor with asymmetric attitude to gains and losses
• Multi-stock portfolio optimization under prospect theory
• Some properties of the optimal investment strategy in a behavioral portfolio choice model

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