Cumulative Prospect Theory Portfolio Selection

Autor:	Marco Corazza, Martina Nardon, Diana Barro
Rok vydání:	2020
Předmět:	Absolute deviation Cumulative prospect theory Computer Science::Computational Engineering Finance and Science Econometrics Equity (finance) Particle swarm optimization Portfolio Mean variance Selection (genetic algorithm) Stock (geology) Mathematics
Zdroj:	SSRN Electronic Journal.
ISSN:	1556-5068
DOI:	10.2139/ssrn.3764530
Popis:	We introduce elements of Cumulative Prospect Theory into the portfolio selection problem and then compare stock portfolios selected under the behavioral approach with those selected according to classical approaches, such as Mean Variance and Mean Absolute Deviation ones. The mathematical programming problem associated to the behavioral portfolio selection is highly non-linear and non-differentiable; for these reasons it is solved using a Particle Swarm Optimization approach. An application to the STOXX Europe 600 equity market is performed.
Databáze:	OpenAIRE
Externí odkaz:	https://explore.openaire.eu/search/publication?articleId=doi_________::15dfec87e2068a97f4b31461a78e85f3 https://doi.org/10.2139/ssrn.3764530 Zobrazit plný text záznamu