Portfolio choice under cumulative prospect theory : sensitivity analysis and an empirical study

Giorgio Consigli, Asmerilda Hitaj, Elisa Mastrogiacomo

Year of publication:	2019
Authors:	Consigli, Giorgio ; Hitaj, Asmerilda ; Mastrogiacomo, Elisa
Published in:	Computational Management Science : CMS. - Berlin : Springer, ISSN 1619-697X, ZDB-ID 2136735-8. - Vol. 16.2019, 1/2, p. 129-154
Subject:	Cumulative prospect theory \| Non-convex optimization \| Robustness and sensitivity analysis \| Hedge funds \| Prospect Theory \| Prospect theory \| Portfolio-Management \| Portfolio selection \| Sensitivitätsanalyse \| Sensitivity analysis \| Entscheidung unter Unsicherheit \| Decision under uncertainty \| Risikoaversion \| Risk aversion \| Hedgefonds \| Hedge fund

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