A New Method of Portfolio Optimization Under Cumulative Prospect Theory
2018-02-15分类号：F224;F830.91
【部门】the Department of Risk Science in Finance and Management Chiba Institute of Technology Department of Automation Tsinghua University
【摘要】In this paper,the portfolio selection problem under Cumulative Prospect Theory(CPT) is investigated and a model of portfolio optimization is presented.This model is solved by coupling scenario generation techniques with a genetic algorithm.Moreover,an Ada
【关键词】portfolio choice cumulative prospect theory bootstrap method adaptive real-coded genetic algorithm
【基金】
【所属期刊栏目】Tsinghua Science and Technology
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