Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
Author:
Funder
Office of Naval Research Global
Deutscher Akademischer Austauschdienst
Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s10614-024-10556-x.pdf
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2. Barro,D., Corazza,M. & Nardon,M.(2020) Cumulative prospect theory portfolio selection. University Ca’Foscari of Venice, Dept. of Economics Research Paper Series No, 26.
3. Bernard, C., & Ghossoub, M. (2010). Static portfolio choice under cumulative prospect theory. Mathematics and Financial Economics, 2(4), 277–306.
4. Barberis, N., & Huang, M. (2009). Preferences with frames: A new utility specification that allows for the framing of risks. Journal of Economic Dynamics and Control, 33(8), 1555–1576.
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1. Decision Making Under Cumulative Prospect Theory: An Alternating Direction Method of Multipliers;INFORMS Journal on Computing;2024-09-03
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