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Multi-period investment strategies under Cumulative Prospect Theory

Liurui Deng and Traian A. Pirvu

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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 cumulative prospect theory (CPT). Compared with their study, our novelty is that we consider a stochastic benchmark, and portfolio constraints. We test the sensitivity of the optimal CPT-investment strategies to different model parameters by performing a numerical analysis.

Date: 2016-08, Revised 2019-03
New Economics Papers: this item is included in nep-upt
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