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

2015
The 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. (C) 2015 Elsevier Ltd. All rights reserved.
EXPERT SYSTEMS WITH APPLICATIONS
页码:7252-7262|卷号:42|期号:20
ISSN:0957-4174
来源机构
Colorado State University
收录类型
SSCI
发表日期
2015
学科领域
循证管理学
国家
中国
语种
英语
DOI
10.1016/j.eswa.2015.04.063
其他关键词
PARTICLE SWARM OPTIMIZATION; SELECTION; DECISION; INVESTMENT; OPTIONS
EISSN
1873-6793
资助机构
National Science Foundation of ChinaNational Natural Science Foundation of China (NSFC) [71372186, 71271047, 70901017]; Program for New Century Excellent Talents in University - ChinaProgram for New Century Excellent Talents in University (NCET) [NCET-13-0115]; Program for Liaoning Excellent Talents in University [LJQ2013030]; Fundamental Research Funds for the Central UniversitiesFundamental Research Funds for the Central Universities [N120506002, N130606002]
资助信息
We are appreciative for the financial support by National Science Foundation of China (Nos. 71372186, 71271047 and 70901017), Program for New Century Excellent Talents in University - China (NCET-13-0115), Program for Liaoning Excellent Talents in University (LJQ2013030) and Fundamental Research Funds for the Central Universities (N120506002, N130606002).
被引频次(WOS)
22
被引更新日期
2022-01
关键词
Finance Portfolio selection Prospect theory Robust optimization Multi-period portfolio Particle swarm optimization