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Multi-period investment strategies under Cumulative Prospect Theory. (arXiv:1608.08490v2 [q-fin.PM] UPDATED)

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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 set- ting under cumulative prospect theory (CPT). Compared with their study, our novelty is that we consider probability distortions, and portfolio constraints. In doing numerical analysis, we test the sensitivity of the optimal CPT-investment strategies to different model parameters.


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