Multi-stock portfolio optimization under prospect theory

被引：43

作者：

Pirvu, Traian A. ^{[1
]}

Schulze, Klaas ^{[2
]}

机构：

[1] McMaster Univ, Dept Math & Stat, Hamilton, ON L8S 4K1, Canada

[2] Quartier UNIL Dorigny, Ecole Polytech Fed Lausanne, Swiss Finance Inst, Extranef 244, CH-1015 Lausanne, Switzerland

来源：

MATHEMATICS AND FINANCIAL ECONOMICS | 2012年 / 6卷 / 04期

基金：

加拿大自然科学与工程研究理事会;

关键词：

Portfolio allocation; Prospect theory; Two-fund separation; Elliptical distributions; DISTRIBUTIONS; RISK; BEHAVIOR;

D O I：

10.1007/s11579-012-0079-0

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We study how a behavioral agent allocates her portfolio. We consider a cumulative prospect theory investor in a single period setting with one riskless bond and multiple risky stocks, which follow a multivariate elliptical distribution. Our main result is a two-fund separation between the riskless bond and a mean-variance-portfolio, up to an exogenous benchmark portfolio. The mean-variance- portfolio, which we derive explicitly, is the same for all agents. Individual risk preferences are mirrored only in the participation in this portfolio. This dependence is illustrated by considering empirical returns. Furthermore we solve ill-posed optimization problems by imposing a regulatory risk constraint. Finally we address specific parameterizations of the value function by studying power, linear, and exponential utility.

引用

页码：337 / 362

页数：26

共 50 条

[41] Prospect theory and the irrational herding in stock markets
Hu, LK
Huang, CM
Lin, YS
[J]. Proceedings of the 8th Joint Conference on Information Sciences, Vols 1-3, 2005, : 1068 - 1071
[42] Prospect Theory and Stock Returns: An Empirical Test
Barberis, Nicholas
Mukherjee, Abhiroop
Wang, Baolian
[J]. REVIEW OF FINANCIAL STUDIES, 2016, 29 (11): : 3068 - 3107
[43] Research on Stock Market Portfolio Optimization Using Stochastic Matrix Theory and Genetic Algorithm
Zhang, YanJin
[J]. MATHEMATICAL PROBLEMS IN ENGINEERING, 2022, 2022
[44] An Evolutionary-based Algorithm for Multi-Period Grouping Stock Portfolio Optimization
Chen, Chun-Hao
Cheng, Chia-Yuan
Hong, Tzung-Pei
Wu, Mu-En
Lin, Kawuu W.
Lin, Jerry Chun-Wei
[J]. 2019 IEEE INTERNATIONAL CONFERENCE ON SYSTEMS, MAN AND CYBERNETICS (SMC), 2019, : 2530 - 2534
[45] Functional Portfolio Optimization in Stochastic Portfolio Theory
Campbell, Steven
Wong, Ting-Kam Leonard
[J]. SIAM JOURNAL ON FINANCIAL MATHEMATICS, 2022, 13 (02): : 576 - 618
[46] An integrated approach for stock evaluation and portfolio optimization
Kiris, Safak
Ustun, Ozden
[J]. OPTIMIZATION, 2012, 61 (04) : 423 - 441
[47] Surveying Stock Market Portfolio Optimization Techniques
Pareek, Mukesh Kumar
Thakkar, Priyank
[J]. 2015 5TH NIRMA UNIVERSITY INTERNATIONAL CONFERENCE ON ENGINEERING (NUICONE), 2015,
[48] Mesoscopic structure of the stock market and portfolio optimization
Zema, Sebastiano Michele
Fagiolo, Giorgio
Squartini, Tiziano
Garlaschelli, Diego
[J]. JOURNAL OF ECONOMIC INTERACTION AND COORDINATION, 2024,
[49] Multi-Period Investment Strategies under Cumulative Prospect Theory
Deng, Liurui
Pirvu, Traian A.
[J]. JOURNAL OF RISK AND FINANCIAL MANAGEMENT, 2019, 12 (02)
[50] Optimization of maintenance policy under parameter uncertainty using portfolio theory
Wu, Shaomin
Coolen, Frank P. A.
Liu, Bin
[J]. IISE TRANSACTIONS, 2017, 49 (07) : 711 - 721

← 1 2 3 4 5 →