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Multi-period uncertain portfolio selection model with prospect utility function
In this paper, we discuss a multi-period portfolio optimization problem based on uncertainty theory and prospect theory. We propose an uncertain multi-period portfolio selection model, in which the return utility and risk of investment are measured by prospect theory utility function and uncertain s...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
Public Library of Science
2022
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9473444/ https://www.ncbi.nlm.nih.gov/pubmed/36103564 http://dx.doi.org/10.1371/journal.pone.0274625 |