Multi-period investment strategies under Cumulative Prospect Theory

2016/08/30 by Liurui Deng, Deng, Liurui, Traian A. Pirvu +1 · 2 citations
Economics, Econometrics and Finance · Mathematics · #FOS: Economics and business #FOS: Mathematics #Optimization and Control (math.OC) #Portfolio Management (q-fin.PM) #math.OC #q-fin.PM

paper · pdf · doi:10.48550/arxiv.1608.08490

arxiv created 2019/03/22 · arxiv updated 2019/03/26

Abstract

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 cumulative prospect theory (CPT). Compared with their study, our novelty is that we consider a stochastic benchmark, and portfolio constraints. We test the sensitivity of the optimal CPT-investment strategies to different model parameters by performing a numerical analysis.

Cited by

• Sharpe Ratio and Return-VaR Ratio Maximization for Option Portfolios with Skew-Elliptical t Underlying Returns
• Optimal Option Portfolios for Skew-Elliptical t Returns

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