Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study

被引：4
|
作者：
Consigli, Giorgio [1 ]
Hitaj, Asmerilda [2 ]
Mastrogiacomo, Elisa [3 ]
机构：
[1] Univ Bergamo, Dept Management Econ & Quantitat Methods, Via Caniana 2, I-24127 Bergamo, BG, Italy
[2] Univ Pavia, Dept Econ & Management, Via San Felice Monastero 7, I-27100 Pavia, PV, Italy
[3] Insubria Univ, Dept Econ, Via Monte Generoso 71, I-21100 Varese, VA, Italy
来源：
COMPUTATIONAL MANAGEMENT SCIENCE | 2019年 / 16卷 / 1-2期
关键词：
Cumulative prospect theory; Non-convex optimization; Robustness and sensitivity analysis; Hedge funds; OPTIMIZATION; ALLOCATION; DECISION;
D O I：
10.1007/s10287-018-0333-x
中图分类号：
O1 [数学]; C [社会科学总论];
学科分类号：
03 ; 0303 ; 0701 ; 070101 ;
摘要：
A sensitivity analysis of the impact of cumulative prospect theory (CPT) parameters on a Mean/Risk efficient frontier is performed through a simulation procedure, assuming a Multivariate Variance Gamma distribution for log-returns. The optimal investment problem for an agent with CPT preferences is then investigated empirically, by considering different parameters' combinations for the CPT utility function. Three different portfolios, one hedge fund and two equity portfolios are considered in this study, where the Modified Herfindahl index is used as a measure of portfolio diversification, while the Omega ratio and the Information ratio are used as measures of performance.
引用
收藏
页码：129 / 154
页数：26
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