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Robust multi-period portfolio model based on prospect theory and ALMV-PSO algorithm

  • Published:2015-11 Issue:20 Volume:42 Page:7252-7262
  • ISSN:0957-4174
  • Container-title:Expert Systems with Applications
  • language:en
  • Short-container-title:Expert Systems with Applications

Author:

Liu Jiahe,Jin Xiu,Wang Tianyang,Yuan Ying

Funder

National Science Foundation of China

Program for New Century Excellent Talents in University

Program for Liaoning Excellent Talents in University

Fundamental Research Funds for the Central Universities

Publisher

Elsevier BV

Subject

Artificial Intelligence,Computer Science Applications,General Engineering

Reference54 articles.

1. Multi-objective portfolio optimization considering the dependence structure of asset returns;Babaei;European Journal of Operational Research,2015

2. Mental accounting, loss aversion, and individual stock returns;Barberis;The Journal of Finance,2001

3. Robust convex optimization;Ben-Tal;Mathematics of Operations Research,1998

4. Robust solutions of uncertain linear programs;Ben-Tal;Operations Research Letters,1999

5. Mean-variance optimal portfolios in the presence of a benchmark with applications to fraud detection;Bernard;European Journal of Operational Research,2014
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