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

DOI10.1007/s10287-018-0333-xOpenAlexW3121737108MaRDI QIDQ1722753

Asmerilda Hitaj, Giorgio Consigli, Elisa Mastrogiacomo

Publication date: 18 February 2019

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-018-0333-x

zbMATH Keywords

non-convex optimizationcumulative prospect theoryrobustness and sensitivity analysishedge funds

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

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Multi-period power utility optimization under stock return predictability, Optimal Portfolio Selection for an Investor with Asymmetric Attitude to Gains and Losses

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