Fitness Landscape Analysis of Prospect Theory-Based Portfolio Optimization Problem Using Loan

被引：1

作者：

Tagawa, Kiyoharu ^{[1
]}

Orito, Yukiko ^{[2
]}

机构：

[1] Kindai Univ, Dept Informat, Fac Informat, Higashiosaka, Osaka, Japan

[2] Tamagawa Univ, Dept Management Sci, Coll Engn, Machida, Tokyo, Japan

来源：

2023 62ND ANNUAL CONFERENCE OF THE SOCIETY OF INSTRUMENT AND CONTROL ENGINEERS, SICE | 2023年

关键词：

portfolio optimization problem; prospect theory; landscape analysis; convex-hull mapping;

D O I：

10.23919/SICE59929.2023.10354104

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

Portfolio optimization is the process of determining the best proportion of investment in different assets to maximize the profit. In the portfolio optimization problem using loan, the borrowed money can be invested in risk assets. In this paper, in order to reflect investor preferences, or values, in the portfolio with loan, the conventional formulation of the portfolio optimization problem is modified based on prospect theory. Then, in order to have an in-depth understanding of the features of the new portfolio optimization problem using loan, a fitness landscape analysis method using the convex-hull mapping is proposed. The results of the fitness landscape analysis reveal the trade-off between profits and values.

引用

页码：878 / 883

页数：6

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