Optimal Portfolio Selection for an Investor with Asymmetric Attitude to Gains and Losses

DOI10.1007/978-3-319-50234-2_13zbMath1383.91003OpenAlexW2781351222MaRDI QIDQ4609758

Andrew A. Khomchenko, Sergei P. Sidorov, Sergei V. Mironov

Publication date: 26 March 2018

Published in: Mathematical and Statistical Methods for Actuarial Sciences and Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-319-50234-2_13

zbMATH Keywords

cumulative prospect theory (CPT)optimal portfolio selection

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Unnamed Item
• Advances in prospect theory: cumulative representation of uncertainty
• Discrete-time behavioral portfolio selection under cumulative prospect theory
• Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study
• Static portfolio choice under cumulative prospect theory
• Multi-stock portfolio optimization under prospect theory
• Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment
• Prospect Theory: An Analysis of Decision under Risk
• Prospect theory–based portfolio optimization: an empirical study and analysis using intelligent algorithms
• A Behavioural Approach to the Pricing of European Options
• Changes in Background Risk and Risk Taking Behavior

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