scholarly journals Optimal investment with transaction costs under cumulative prospect theory in discrete time

2017 ◽  
Vol 11 (4) ◽  
pp. 393-421 ◽  
Author(s):  
Bin Zou ◽  
Rudi Zagst
2019 ◽  
Vol 5 (2) ◽  
pp. 53
Author(s):  
Liurui Deng ◽  
Lan Yang ◽  
Bolin Ma

This paper focuses on optimal investment strategies under cumulative prospect theory (CPT). Considering transaction costs, we investigate CPT investors multi-period optimal portfolios. Our main contributions relative to previous work are expanding a single-period optimization problem to a multi-period optimization problem and investigating the impact of transaction costs on optimal portfolio selections. In a numerical analysis that applied original data on four stocks from the NASDAQ, we examine the effects of different risks on the optimal portfolio. Moreover, in contrast with the results without transaction costs, we come to conclusion that the optimal strategy with transaction costs is less sensitive to risk.


2016 ◽  
Vol 48 ◽  
pp. 226-238
Author(s):  
N. Denizcan Vanli ◽  
Sait Tunc ◽  
Mehmet A. Donmez ◽  
Suleyman S. Kozat

2021 ◽  
pp. 1-13
Author(s):  
Ning Tao ◽  
Duan Xiaodong ◽  
An Lu ◽  
Gou Tao

A disruption management method based on cumulative prospect theory is proposed for the urgent with deteriorating effect arrival in flexible job shop scheduling problem (FJSP). First, the mathematical model of problem is established with minimizing the completion time of urgent order, minimizing the total process time of the system and minimizing the total cost as the target. Then, the cumulative prospect theory equation of the urgent arrival in job shop scheduling process is induced designed. Based on the selected model, an optimized multi-phase quantum particle swarm algorithm (MQPSO) is proposed for selecting processing route. Finally, using Solomon example simulation and company Z riveting shop example as the study object, the performance of the proposed method is analyzed. It is compared with the current common rescheduling methods, and the results verify that the method proposed in this paper not only meets the goal of the optimized objects, but improves the practical requirements for the stability of production and processing system during urgent arrival. Lastly, the optimized multiphase quantum particle swarm algorithm is used to solve disruption management of urgent arrival problem. Through instance analysis and comparison, the effectiveness and efficiency of urgent arrival disruption management method with deteriorating effect are verified.


2020 ◽  
Vol 12 (6) ◽  
pp. 064101
Author(s):  
Jicheng Liu ◽  
Zhenzhen Wang ◽  
Yu Yin ◽  
Yinghuan Li ◽  
Yunyuan Lu

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