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Robust multi-period portfolio model based on prospect theory and ALMV-PSO algorithm

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dc.contributor.authorLiu, Jiahe, author
dc.contributor.authorJin, Xiu, author
dc.contributor.authorWang, Tianyang, author
dc.contributor.authorYuan, Ying, author
dc.contributor.authorExpert Systems with Applications, publisher
dc.date.accessioned2020-05-12T16:29:27Z
dc.date.available2020-05-12T16:29:27Z
dc.date.issued2015-11-15
dc.descriptionIncludes bibliographical references (pages 25-28).
dc.descriptionPublished as: Expert Systems With Applications, vol. 42, no.20, November 2015, pp.7252–7262, https://doi.org/10.1016/j.eswa.2015.04.063.
dc.description.abstractThe studies of behavioral finance show that the cognitive bias plays an important role in investors' decision-making process. In this paper, based on the robust theory and prospect theory, a robust multi-period portfolio considering investors' behavioral factors is constructed, which features the reference dependence, loss aversion and diminishing sensitivity. To solve the proposed portfolio model, an improved particle swarm optimization (PSO) algorithm is developed, which incorporates the two-stage initialization strategy, the improved stochastic ranking approach, the aging leader and the multi-frequency vibrational mutation operator. We illustrate the robust model with real market data and show its effectiveness based on the performance of the proposed algorithm. The results show that the proposed algorithm is successful in solving the constrained multi-period portfolio model and the proposed portfolio model provides an effective tool for a real multi-period investment.
dc.format.mediumborn digital
dc.format.mediumarticles
dc.identifier.bibliographicCitationLiu, J., Jin, X., Wang, T., & Yuan, Y. (2015). Robust multi-period portfolio model based on prospect theory and ALMV-PSO algorithm. Expert Systems With Applications, 42(20), 7252–7262. https://doi.org/10.1016/j.eswa.2015.04.063
dc.identifier.urihttps://hdl.handle.net/10217/206716
dc.languageEnglish
dc.language.isoeng
dc.publisherColorado State University. Libraries
dc.relation.ispartofFaculty Publications
dc.rights©2015 Elsevier Ltd. Author can post accepted author manuscript immediately to an institutional repository and make this publicly available after an embargo period has expired. https://www.elsevier.com/authors/journal-authors/submit-your-paper/sharing-and-promoting-your-article.
dc.rightsCopyright and other restrictions may apply. User is responsible for compliance with all applicable laws. For information about copyright law, please see https://libguides.colostate.edu/copyright.
dc.subjectfinance
dc.subjectportfolio selection
dc.subjectprospect theory
dc.subjectrobust optimization
dc.subjectmulti-period portfolio
dc.subjectparticle swarm optimization
dc.titleRobust multi-period portfolio model based on prospect theory and ALMV-PSO algorithm
dc.typeText

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