Prospect theory-based formulation of chance constrained portfolio optimization problem using loan
Portfolio optimization that allows the borrowed money from a loan to be invested in risk assets has been formulated as a chance constrained problem. In this paper, in order to reflect investor preferences called “values” in the solution, or the portfolio, prospect theory is used to expand the chance...
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| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Taylor & Francis Group
2024-12-01
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| Series: | SICE Journal of Control, Measurement, and System Integration |
| Subjects: | |
| Online Access: | http://dx.doi.org/10.1080/18824889.2024.2347030 |
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