Portfolio Selection Optimization under Cumulative Prospect Theory – a parameter sensibility analysis
Author
Abstract
Suggested Citation
Download full text from publisher
References listed on IDEAS
- Quiggin, John, 1982. "A theory of anticipated utility," Journal of Economic Behavior & Organization, Elsevier, vol. 3(4), pages 323-343, December.
- Daniel Kahneman & Amos Tversky, 2013.
"Prospect Theory: An Analysis of Decision Under Risk,"
World Scientific Book Chapters, in: Leonard C MacLean & William T Ziemba (ed.), HANDBOOK OF THE FUNDAMENTALS OF FINANCIAL DECISION MAKING Part I, chapter 6, pages 99-127,
World Scientific Publishing Co. Pte. Ltd..
- Kahneman, Daniel & Tversky, Amos, 1979. "Prospect Theory: An Analysis of Decision under Risk," Econometrica, Econometric Society, vol. 47(2), pages 263-291, March.
- Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
- Haim Levy, 2004. "Prospect Theory and Mean-Variance Analysis," The Review of Financial Studies, Society for Financial Studies, vol. 17(4), pages 1015-1041.
- Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
- Wakker,Peter P., 2010.
"Prospect Theory,"
Cambridge Books,
Cambridge University Press, number 9780521765015, January.
- Wakker,Peter P., 2010. "Prospect Theory," Cambridge Books, Cambridge University Press, number 9780521748681, November.
- Kliger, Doron & Levy, Ori, 2009. "Theories of choice under risk: Insights from financial markets," Journal of Economic Behavior & Organization, Elsevier, vol. 71(2), pages 330-346, August.
- Bernard, Carole & Ghossoub, Mario, 2009. "Static Portfolio Choice under Cumulative Prospect Theory," MPRA Paper 15446, University Library of Munich, Germany.
- Gurevich, Gregory & Kliger, Doron & Levy, Ori, 2009. "Decision-making under uncertainty - A field study of cumulative prospect theory," Journal of Banking & Finance, Elsevier, vol. 33(7), pages 1221-1229, July.
- Enrico Giorgi & Thorsten Hens, 2006.
"Making prospect theory fit for finance,"
Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(3), pages 339-360, September.
- De Giorgi, Enrico & Hens, Thorsten, 2005. "Making Prospect Theory Fit for Finance," Discussion Papers 2005/19, Norwegian School of Economics, Department of Business and Management Science.
- Coelho, Luís Alberto Godinho & Pires, Cesaltina Maria Pacheco & Dionísio, Andreia Teixeira & Serrão, Amílcar Joaquim da Conceição, 2012. "The impact of CAP policy in farmer's behavior – A modeling approach using the Cumulative Prospect Theory," Journal of Policy Modeling, Elsevier, vol. 34(1), pages 81-98.
- Mohammed Abdellaoui, 2000. "Parameter-Free Elicitation of Utility and Probability Weighting Functions," Management Science, INFORMS, vol. 46(11), pages 1497-1512, November.
Citations
Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
Cited by:
- Chao Gong & Chunhui Xu & Ji Wang, 2018. "An Efficient Adaptive Real Coded Genetic Algorithm to Solve the Portfolio Choice Problem Under Cumulative Prospect Theory," Computational Economics, Springer;Society for Computational Economics, vol. 52(1), pages 227-252, June.
- Beatrice D. Simo-Kengne & Kofi A. Ababio & Jules Mba & Ur Koumba, 2018. "Behavioral portfolio selection and optimization: an application to international stocks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(3), pages 311-328, August.
Most related items
These are the items that most often cite the same works as this one and are cited by the same works as this one.- Beatrice D. Simo-Kengne & Kofi A. Ababio & Jules Mba & Ur Koumba, 2018. "Behavioral portfolio selection and optimization: an application to international stocks," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 32(3), pages 311-328, August.
- Jakusch, Sven Thorsten, 2017. "On the applicability of maximum likelihood methods: From experimental to financial data," SAFE Working Paper Series 148, Leibniz Institute for Financial Research SAFE, revised 2017.
- Jakusch, Sven Thorsten & Meyer, Steffen & Hackethal, Andreas, 2019. "Taming models of prospect theory in the wild? Estimation of Vlcek and Hens (2011)," SAFE Working Paper Series 146, Leibniz Institute for Financial Research SAFE, revised 2019.
- De Giorgi, Enrico G. & Legg, Shane, 2012. "Dynamic portfolio choice and asset pricing with narrow framing and probability weighting," Journal of Economic Dynamics and Control, Elsevier, vol. 36(7), pages 951-972.
- Ariane Charpin, 2018. "Tests des modèles de décision en situation de risque. Le cas des parieurs hippiques en France," Revue économique, Presses de Sciences-Po, vol. 69(5), pages 779-803.
- Bernard, Carole & Chen, Jit Seng & Vanduffel, Steven, 2015.
"Rationalizing investors’ choices,"
Journal of Mathematical Economics, Elsevier, vol. 59(C), pages 10-23.
- Carole Bernard & Jit Seng Chen & Steven Vanduffel, 2013. "Rationalizing Investors Choice," Papers 1302.4679, arXiv.org, revised Jan 2014.
- Peter Brooks & Simon Peters & Horst Zank, 2014.
"Risk behavior for gain, loss, and mixed prospects,"
Theory and Decision, Springer, vol. 77(2), pages 153-182, August.
- Peter Brooks & Simon Peters & Horst Zank, 2011. "Risk Behaviour for Gain, Loss and Mixed Prospects," Economics Discussion Paper Series 1123, Economics, The University of Manchester.
- Fulga, Cristinca, 2016. "Portfolio optimization with disutility-based risk measure," European Journal of Operational Research, Elsevier, vol. 251(2), pages 541-553.
- Attema, Arthur E. & Brouwer, Werner B.F. & l’Haridon, Olivier, 2013.
"Prospect theory in the health domain: A quantitative assessment,"
Journal of Health Economics, Elsevier, vol. 32(6), pages 1057-1065.
- Attema, Arthur & Brouwer, Werner & l'Haridon, Olivier, 2013. "Prospect theory in the health domain: a quantitative assessment," MPRA Paper 44207, University Library of Munich, Germany.
- Arthur E. Attema & Werner B.F. Brouwer & Olivier L’haridon, 2013. "Prospect theory in the health domain: A quantitative assessment," Post-Print halshs-00866788, HAL.
- Haim Levy & Enrico G. De Giorgi & Thorsten Hens, 2012. "Two Paradigms and Nobel Prizes in Economics: a Contradiction or Coexistence?," European Financial Management, European Financial Management Association, vol. 18(2), pages 163-182, March.
- Wing-Keung Wong & Chenghu Ma, 2008. "Preferences over location-scale family," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 37(1), pages 119-146, October.
- Laurent Denant-Boemont & Olivier L’Haridon, 2013.
"La rationalité à l'épreuve de l'économie comportementale,"
Revue française d'économie, Presses de Sciences-Po, vol. 0(2), pages 35-89.
- Laurent Denant-Boèmont & Olivier l'Haridon, 2013. "La rationalité à l’épreuve de l’économie comportementale," Economics Working Paper Archive (University of Rennes & University of Caen) 201323, Center for Research in Economics and Management (CREM), University of Rennes, University of Caen and CNRS.
- Laurent Denant-Boèmont & Olivier L’haridon, 2013. "La rationalité à l'épreuve de l'économie comportementale," Post-Print halshs-00921070, HAL.
- Dhami, Sanjit & al-Nowaihi, Ali, 2013.
"An extension of the Becker proposition to non-expected utility theory,"
Mathematical Social Sciences, Elsevier, vol. 65(1), pages 10-20.
- Sanjit Dhami & Ali al-Nowaihi, 2011. "An extension of the Becker proposition to non-expected utility theory," Discussion Papers in Economics 11/41, Division of Economics, School of Business, University of Leicester.
- Amit Kothiyal & Vitalie Spinu & Peter Wakker, 2011. "Prospect theory for continuous distributions: A preference foundation," Journal of Risk and Uncertainty, Springer, vol. 42(3), pages 195-210, June.
- Simone Cerreia-Vioglio & Fabio Maccheroni & Massimo Marinacci, 2017.
"Stochastic Dominance Analysis Without the Independence Axiom,"
Management Science, INFORMS, vol. 63(4), pages 1097-1109, April.
- Simone Cerreia Vioglio & Fabio Maccheroni & Massimo Marinacci, 2015. "Stochastic Dominance Analysis without the Independence Axiom," Working Papers 549, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- Marie Pfiffelmann, 2011. "Solving the St. Petersburg Paradox in cumulative prospect theory: the right amount of probability weighting," Theory and Decision, Springer, vol. 71(3), pages 325-341, September.
- Pfiffelmann, Marie & Roger, Tristan & Bourachnikova, Olga, 2016.
"When Behavioral Portfolio Theory meets Markowitz theory,"
Economic Modelling, Elsevier, vol. 53(C), pages 419-435.
- Marie Pfiffelmann & Tristan Roger & Olga Bourachnikova, 2016. "When Behavioral Portfolio Theory Meets Markowitz Theory," Post-Print hal-01483831, HAL.
- Fulga, Cristinca, 2016. "Portfolio optimization under loss aversion," European Journal of Operational Research, Elsevier, vol. 251(1), pages 310-322.
- Aurélien Baillon & Laure Cabantous & Peter Wakker, 2012. "Aggregating imprecise or conflicting beliefs: An experimental investigation using modern ambiguity theories," Journal of Risk and Uncertainty, Springer, vol. 44(2), pages 115-147, April.
- Fortin, Ines & Hlouskova, Jaroslava, 2011.
"Optimal asset allocation under linear loss aversion,"
Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2974-2990, November.
- Fortin, Ines & Hlouskova, Jaroslava, 2010. "Optimal Asset Allocation Under Linear Loss Aversion," Economics Series 257, Institute for Advanced Studies.
More about this item
Keywords
Cumulative Prospect Theory; Portfolio Selection; Loss Aversion; Risk Aversion; Expected Utility.;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CBE-2014-10-13 (Cognitive and Behavioural Economics)
- NEP-ORE-2014-10-13 (Operations Research)
- NEP-UPT-2014-10-13 (Utility Models and Prospect Theory)
Statistics
Access and download statisticsCorrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cfe:wpcefa:2014_06. See general information about how to correct material in RePEc.
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Angela Pacheco (email available below). General contact details of provider: https://edirc.repec.org/data/cfevopt.html .
Please note that corrections may take a couple of weeks to filter through the various RePEc services.