Multi-period investment strategies under Cumulative Prospect Theory
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In this article, inspired by Shi, et al. we investigate the optimal portfolio
selection with one risk-free asset and one risky asset in a multiple period
setting under cumulative prospect theory (CPT). Compared with their study, our
novelty is that we consider a stochastic benchmark, and portfolio constraints.
We test the sensitivity of the optimal CPT-investment strategies to different
model parameters by performing a numerical analysis.