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...

This paper investigates the use, in practical financial problems, of the Mixed Tempered Stable distribution both in its univariate and multivariate formulation. In the univariate context, we study the dependence of a given coherent risk measure on the distribution parameters. The latter allows...