Portfolio optimization with cumulative prospect theory utility via convex optimization
Eric Luxenberg, Philipp Schiele, Stephen Boyd
| Year of publication: |
2024
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|---|---|
| Authors: | Luxenberg, Eric ; Schiele, Philipp ; Boyd, Stephen P. |
| Published in: |
Computational economics. - Dordrecht [u.a.] : Springer Science + Business Media B.V., ISSN 1572-9974, ZDB-ID 1477445-8. - Vol. 64.2024, 5, p. 3027-3047
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| Subject: | Convex optimization | Convex-concave procedure | Cumulative prospect theory | Prospect Theory | Prospect theory | Portfolio-Management | Portfolio selection | Mathematische Optimierung | Mathematical programming | Erwartungsnutzen | Expected utility | Nutzentheorie | Utility theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10614-024-10556-x [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10015144105