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Multi-period Investment Strategies with Transaction Costs Under Cumulative Prospect Theory
Applied Finance and Accounting
View Archive Info| Field | Value | |
| Title |
Multi-period Investment Strategies with Transaction Costs Under Cumulative Prospect Theory
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| Creator |
Deng, Liurui
Yang, Lan Ma, Bolin |
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| Description |
This paper focuses on optimal investment strategies under cumulative prospect theory (CPT). Considering transaction costs, we investigate CPT investors multi-period optimal portfolios. Our main contributions relative to previous work are expanding a single-period optimization problem to a multi-period optimization problem and investigating the impact of transaction costs on optimal portfolio selections. In a numerical analysis that applied original data on four stocks from the NASDAQ, we examine the effects of different risks on the optimal portfolio. Moreover, in contrast with the results without transaction costs, we come to conclusion that the optimal strategy with transaction costs is less sensitive to risk.
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| Publisher |
Redfame publishing
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| Contributor |
—
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| Date |
2019-08-15
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| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion Peer-reviewed Article |
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| Format |
application/pdf
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| Identifier |
http://redfame.com/journal/index.php/afa/article/view/4432
10.11114/afa.v5i2.4432 |
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| Source |
Applied Finance and Accounting; Vol 5, No 2 (2019); 53-67
2374-2429 2374-2410 |
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| Language |
eng
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| Relation |
http://redfame.com/journal/index.php/afa/article/view/4432/4647
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| Rights |
Copyright (c) 2019 Applied Finance and Accounting
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