In this paper we study the portfolio selection problem under cumulative prospect theory (CPT), both from a theoretical and empirical point of view. Our aim is twofold. First, we study through a simulation-based procedure, the implication of higher-moments and CPT parameters on Mean/Risk...

The scope of this volume is primarily to analyze from different methodological perspectives similar valuation and optimization problems arising in financial applications, aimed at facilitating a theoretical and computational integration between methods largely regarded as alternatives....