Artikel
Multi-period investment strategies under cumulative prospect theory
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 the cumulative prospect theory (CPT) risk criterion. Compared with their study, our novelty is that we consider a stochastic benchmark and portfolio constraints. By performing a numerical analysis, we test the sensitivity of the optimal CPT investment strategies to different model parameters.
- Sprache
-
Englisch
- Erschienen in
-
Journal: Journal of Risk and Financial Management ; ISSN: 1911-8074 ; Volume: 12 ; Year: 2019 ; Issue: 2 ; Pages: 1-15 ; Basel: MDPI
- Klassifikation
-
Wirtschaft
- Thema
-
cumulative prospect theory
portfolio selection
multi-period investment strategy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Deng, Liurui
Pirvu, Traian A.
- Ereignis
-
Veröffentlichung
- (wer)
-
MDPI
- (wo)
-
Basel
- (wann)
-
2019
- DOI
-
doi:10.3390/jrfm12020083
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Artikel
Beteiligte
- Deng, Liurui
- Pirvu, Traian A.
- MDPI
Entstanden
- 2019
Ähnliche Objekte (12)
Multi-period disassembly planning
Multi-period credit portfolio selection
Multi-period credit portfolio selection
Analysis of multi-period investment under regulation in the German power grid
Analysis of Multi-period Investment under Regulation in the German Power Grid
Dynamic Multi-Period Routing With Two Classes
On single- and multi-period corporate default prediction
Monetary and Macroprudential Policy with Multi-Period Loans
On multi-period emissions trading in the electricity sector
Multi-period capacitated facility location under delayed demand satisfaction
Variable selection and inference for multi-period forecasting problems
On multi-period emissions trading in the electricity sector
Multi-period disassembly planning
Multi-period credit portfolio selection
Multi-period credit portfolio selection
Analysis of multi-period investment under regulation in the German power grid
Analysis of Multi-period Investment under Regulation in the German Power Grid
Dynamic Multi-Period Routing With Two Classes
On single- and multi-period corporate default prediction
Monetary and Macroprudential Policy with Multi-Period Loans
On multi-period emissions trading in the electricity sector
Multi-period capacitated facility location under delayed demand satisfaction
Variable selection and inference for multi-period forecasting problems
On multi-period emissions trading in the electricity sector
Multi-period disassembly planning
Multi-period credit portfolio selection
Multi-period credit portfolio selection
Analysis of multi-period investment under regulation in the German power grid
Analysis of Multi-period Investment under Regulation in the German Power Grid
Dynamic Multi-Period Routing With Two Classes
On single- and multi-period corporate default prediction
Monetary and Macroprudential Policy with Multi-Period Loans
On multi-period emissions trading in the electricity sector
Multi-period capacitated facility location under delayed demand satisfaction
Variable selection and inference for multi-period forecasting problems