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Multi-Period Investment Strategies under Cumulative Prospect Theory

1,† and 2,*,†
1
College of Economics and Management, Hunan Normal University, Changsha 410081, China
2
Department of Mathematics and Statistics, McMaster University, 1280 Main Street West, Hamilton, ON L8S 4K1, Canada
*
Author to whom correspondence should be addressed.
These authors contributed equally to this work.
J. Risk Financial Manag. 2019, 12(2), 83; https://doi.org/10.3390/jrfm12020083 (registering DOI)
Received: 10 April 2019 / Revised: 1 May 2019 / Accepted: 5 May 2019 / Published: 11 May 2019
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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 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. View Full-Text
Keywords: cumulative prospect theory; portfolio selection; multi-period investment strategy cumulative prospect theory; portfolio selection; multi-period investment strategy
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Deng, L.; Pirvu, T.A. Multi-Period Investment Strategies under Cumulative Prospect Theory. J. Risk Financial Manag. 2019, 12, 83.

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