A multi-period fuzzy portfolio optimization model with investors’ loss aversion
A multi-period fuzzy portfolio optimization model with investors’ loss aversion
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Publisher
Berlin/Heidelberg: Springer Berlin Heidelberg
Journal title
Language
English
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Publication information
Publisher
Berlin/Heidelberg: Springer Berlin Heidelberg
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Scope and Contents
Contents
This paper considers the problem of how to construct the optimal multi-period portfolio for investors with loss aversion in fuzzy environment. Firstly, we regard the return rates of the risky assets as fuzzy numbers and use the value function in prospect theory to transform the return rate of a portfolio into perceived value, which can reflect inve...
Alternative Titles
Full title
A multi-period fuzzy portfolio optimization model with investors’ loss aversion
Authors, Artists and Contributors
Author / Creator
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Record Identifier
TN_cdi_proquest_journals_2917906799
Permalink
https://devfeature-collection.sl.nsw.gov.au/record/TN_cdi_proquest_journals_2917906799
Other Identifiers
ISSN
1432-7643
E-ISSN
1433-7479
DOI
10.1007/s00500-023-09030-x
