IDEAS home Printed from https://ideas.repec.org/r/pra/mprapa/15446.html
   My bibliography  Save this item

Static Portfolio Choice under Cumulative Prospect Theory

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Caporin, Massimiliano & Costola, Michele & Jannin, Gregory & Maillet, Bertrand, 2018. "“On the (Ab)use of Omega?”," Journal of Empirical Finance, Elsevier, vol. 46(C), pages 11-33.
  2. Bin Zou, 2017. "Optimal Investment In Hedge Funds Under Loss Aversion," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(03), pages 1-32, May.
  3. Godfrey Cadogan, 2012. "Representation theory for risk on markowitz-tversky-kahneman topology," Economics Bulletin, AccessEcon, vol. 32(4), pages 1-34.
  4. 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.
  5. Fortin, Ines & Hlouskova, Jaroslava & Tsigaris, Panagiotis, 2016. "The Consumption-Investment Decision of a Prospect Theory Household," Economics Series 322, Institute for Advanced Studies.
  6. Topaloglou, Nikolas & Tsionas, Mike G., 2020. "Stochastic dominance tests," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
  7. Laurence Carassus & Mikl'os R'asonyi & Andrea M. Rodrigues, 2015. "Non-concave utility maximisation on the positive real axis in discrete time," Papers 1501.03123, arXiv.org, revised Apr 2015.
  8. Matteo Del Vigna, 2011. "Financial market equilibria with heterogeneous agents: CAPM and market segmentation," Working Papers - Mathematical Economics 2011-08, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  9. Jaroslava Hlouskova & Panagiotis Tsigaris, 2012. "Capital income taxation and risk taking under prospect theory," International Tax and Public Finance, Springer;International Institute of Public Finance, vol. 19(4), pages 554-573, August.
  10. Liurui Deng & Traian A. Pirvu, 2019. "Multi-Period Investment Strategies under Cumulative Prospect Theory," JRFM, MDPI, vol. 12(2), pages 1-15, May.
  11. Huy N. Chau & Mikl'os R'asonyi, 2016. "Skorohod's representation theorem and optimal strategies for markets with frictions," Papers 1606.07311, arXiv.org, revised Apr 2017.
  12. Miklos Rasonyi & Andrea M. Rodrigues, 2012. "Optimal Portfolio Choice for a Behavioural Investor in Continuous-Time Markets," Papers 1202.0628, arXiv.org, revised Apr 2013.
  13. 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.
  14. Han Bleichrodt & Martin Filko & Amit Kothiyal & Peter P. Wakker, 2017. "Making Case-Based Decision Theory Directly Observable," American Economic Journal: Microeconomics, American Economic Association, vol. 9(1), pages 123-151, February.
  15. Tetiana Zholonko & Olesia Grebinchuk & Maryna Bielikova & Yurii Kulynych & Olena Oviechkina, 2021. "Methodological Tools for Investment Risk Assessment for the Companies of Real Economy Sector," JRFM, MDPI, vol. 14(2), pages 1-10, February.
  16. Louis Eeckhoudt & Anna Maria Fiori & Emanuela Rosazza Gianin, 2018. "Risk Aversion, Loss Aversion, and the Demand for Insurance," Risks, MDPI, vol. 6(2), pages 1-19, May.
  17. 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.
  18. Bin Zou & Rudi Zagst, 2015. "Optimal Investment with Transaction Costs under Cumulative Prospect Theory in Discrete Time," Papers 1511.04768, arXiv.org, revised Nov 2016.
  19. Alain Bensoussan & Abel Cadenillas & Hyeng Keun Koo, 2015. "Entrepreneurial Decisions on Effort and Project with a Nonconcave Objective Function," Mathematics of Operations Research, INFORMS, vol. 40(4), pages 902-914, October.
  20. Bernard, Carole & Chen, Jit Seng & Vanduffel, Steven, 2015. "Rationalizing investors’ choices," Journal of Mathematical Economics, Elsevier, vol. 59(C), pages 10-23.
  21. Xue Dong He & Xun Yu Zhou, 2011. "Portfolio Choice Under Cumulative Prospect Theory: An Analytical Treatment," Management Science, INFORMS, vol. 57(2), pages 315-331, February.
  22. Miklos Rasonyi, 2014. "Optimal investment with bounded above utilities in discrete time markets," Papers 1409.2023, arXiv.org.
  23. Luis A.G. Coelho, 2014. "Portfolio Selection Optimization under Cumulative Prospect Theory – a parameter sensibility analysis," CEFAGE-UE Working Papers 2014_06, University of Evora, CEFAGE-UE (Portugal).
  24. Matteo Del Vigna, 2011. "Market equilibrium with heterogeneous behavioural and classical investors' preferences," Working Papers - Mathematical Economics 2011-09, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  25. Matteo Del Vigna, 2012. "Stochastic dominance for law invariant preferences: The happy story of elliptical distributions," Working Papers - Mathematical Economics 2012-08, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
  26. Marcos Escobar-Anel & Andreas Lichtenstern & Rudi Zagst, 2020. "Behavioral portfolio insurance strategies," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(4), pages 353-399, December.
  27. Miklós Rásonyi & Andrea Rodrigues, 2013. "Optimal portfolio choice for a behavioural investor in continuous-time markets," Annals of Finance, Springer, vol. 9(2), pages 291-318, May.
  28. Laurence Carassus & Miklos Rasonyi, 2011. "On optimal investment for a behavioural investor in multiperiod incomplete market models," Papers 1107.1617, arXiv.org, revised Oct 2012.
  29. 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.
  30. 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.
  31. Liurui Deng & Traian A. Pirvu, 2016. "Multi-period investment strategies under Cumulative Prospect Theory," Papers 1608.08490, arXiv.org, revised Mar 2019.
  32. Hou, Yanxi & Wang, Xing, 2019. "Nonparametric inference for distortion risk measures on tail regions," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 92-110.
  33. Giorgio Consigli & Asmerilda Hitaj & Elisa Mastrogiacomo, 2019. "Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study," Computational Management Science, Springer, vol. 16(1), pages 129-154, February.
  34. Ghossoub, Mario, 2011. "Towards a Purely Behavioral Definition of Loss Aversion," MPRA Paper 37628, University Library of Munich, Germany, revised 23 Mar 2012.
  35. Laurence Carassus & Miklós Rásonyi, 2016. "Maximization of Nonconcave Utility Functions in Discrete-Time Financial Market Models," Mathematics of Operations Research, INFORMS, vol. 41(1), pages 146-173, February.
  36. Yun Shi & Xiangyu Cui & Jing Yao & Duan Li, 2015. "Dynamic Trading with Reference Point Adaptation and Loss Aversion," Operations Research, INFORMS, vol. 63(4), pages 789-806, August.
  37. Jaroslava Hlouskova & Jana Mikocziova & Rudolf Sivak & Peter Tsigaris, 2014. "Capital Income Taxation and Risk-Taking under Prospect Theory: The Continuous Distribution Case," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, vol. 64(5), pages 374-391, November.
  38. Laurence Carassus & Miklos Rasonyi, 2013. "Maximization of Non-Concave Utility Functions in Discrete-Time Financial Market Models," Papers 1302.0134, arXiv.org, revised Sep 2014.
  39. Liurui Deng & Zilan Liu, 2017. "One-period pricing strategy of ‘money doctors’ under cumulative prospect theory," Portuguese Economic Journal, Springer;Instituto Superior de Economia e Gestao, vol. 16(2), pages 113-144, August.
  40. Shi, Yun & Cui, Xiangyu & Li, Duan, 2015. "Discrete-time behavioral portfolio selection under cumulative prospect theory," Journal of Economic Dynamics and Control, Elsevier, vol. 61(C), pages 283-302.
  41. Jaroslava Hlouskova & Panagiotis Tsigaris, 2016. "The role of the marginal rate of substitution of wealth for a loss averse investor," Economics Bulletin, AccessEcon, vol. 36(4), pages 2250-2260.
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.