Multi-Period Investment Strategies under Cumulative Prospect Theory

Liurui Deng and Traian A. Pirvu
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Liurui Deng: College of Economics and Management, Hunan Normal University, Changsha 410081, China
Traian A. Pirvu: Department of Mathematics and Statistics, McMaster University, 1280 Main Street West, Hamilton, ON L8S 4K1, Canada

JRFM, 2019, vol. 12, issue 2, 1-15

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 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.

Keywords: cumulative prospect theory; portfolio selection; multi-period investment strategy (search for similar items in EconPapers)
JEL-codes: C E F2 F3 G (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (2)

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