Multi-Objective Portfolio Selection Considering Expected and Total Utility

To address the challenge of minimizing the risk of irrational investment decisions made by investors in the face of wealth fluctuations, this article incorporates prospect theory and disappointment theory into the framework of multi-objective portfolio selection. The proposed portfolio selection model aims to balance return and risk by simultaneously maximizing expected and total utility. The expected utility objective drives the model to chase investment returns, while the total utility drives the model to avoid investment risk. The effectiveness of the proposed multi-objective portfolio selection model is tested by comparing it to three control portfolio selection models