Multi-period investment strategies under cumulative prospect theory

Liurui Deng and Traian A. Pirvu

In this article, inspired by Shi et al., we investigate the optimal portfolio selection with one risk-free asset and one risky asset in a multiple period setting under the cumulative prospect theory (CPT) risk criterion. Compared with their study, our novelty is that we consider a stochastic benchmark and portfolio constraints. By performing a numerical analysis, we test the sensitivity of the optimal CPT investment strategies to different model parameters.

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Year of publication:	2019
Authors:	Deng, Liurui ; Pirvu, Traian A.
Published in:	Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 12.2019, 2/83, p. 1-15
Subject:	cumulative prospect theory \| portfolio selection \| multi-period investment strategy \| Prospect Theory \| Prospect theory \| Portfolio-Management \| Portfolio selection \| Anlageverhalten \| Behavioural finance \| Entscheidung unter Unsicherheit \| Decision under uncertainty \| Entscheidung unter Risiko \| Decision under risk

Type of publication:	Article
Type of publication (narrower categories):	Aufsatz in Zeitschrift ; Article in journal
Language:	English
Other identifiers:	10.3390/jrfm12020083 [DOI] hdl:10419/238974 [Handle]
Source:	ECONIS - Online Catalogue of the ZBW

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