On the investment direction of a behavioral portfolio choice model

doi:10.1016/j.orl.2019.03.018

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	On the investment direction of a behavioral portfolio choice model
	Lou, Youcheng
	2019-07-01
发表期刊	OPERATIONS RESEARCH LETTERS
ISSN	0167-6377
卷号	47 期号:4 页码:270-273
摘要	The existing results show that for two-point distributions, the investment direction of a CPT-investor is determined by the actual (respectively, perceived) market opportunity when the investor is in a gain (respectively, loss) position. For general distributions this article shows that the result in the case of gain positions still holds when the CPT-investor is sufficiently loss-averse, but no longer holds in the case of loss positions by constructing counterexamples. (C) 2019 Elsevier B.V. All rights reserved.
关键词	Cumulative prospect theory Investment direction Actual market opportunity Perceived market opportunity
DOI	10.1016/j.orl.2019.03.018
语种	英语
WOS研究方向	Operations Research & Management Science
WOS类目	Operations Research & Management Science
WOS记录号	WOS:000474502700008
出版者	ELSEVIER SCIENCE BV
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/35162
专题	系统科学研究所
通讯作者	Lou, Youcheng
作者单位	Chinese Acad Sci, Acad Math & Syst Sci, Key Lab Management Decis & Informat Syst, Beijing, Peoples R China
推荐引用方式 GB/T 7714	Lou, Youcheng. On the investment direction of a behavioral portfolio choice model[J]. OPERATIONS RESEARCH LETTERS,2019,47(4):270-273.
APA	Lou, Youcheng.(2019).On the investment direction of a behavioral portfolio choice model.OPERATIONS RESEARCH LETTERS,47(4),270-273.
MLA	Lou, Youcheng."On the investment direction of a behavioral portfolio choice model".OPERATIONS RESEARCH LETTERS 47.4(2019):270-273.