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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...

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Detalles Bibliográficos
Autores principales: Guo, Gaohuizi, Xiao, Yao, Yao, Cuiyou
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2022
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

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