Multi-objective portfolio selection considering expected and total utility

被引：6

作者：

Wang, Xianhe ^{[1
]}

Ouyang, Yuliang ^{[2
]}

Li, You ^{[3
]}

Liu, Shu ^{[4
]}

Teng, Long ^{[1
]}

Wang, Bo ^{[5
]}

机构：

[1] Hong Kong Polytech Univ, Res Inst Adv Mfg, Dept Ind & Syst Engn, Hung Hom, Hong Kong, Peoples R China

[2] Clark Univ, Sch Management, Worcester, MA 01608 USA

[3] Nanjing Univ Finance & Econ, Sch Finance, Nanjing 210023, Peoples R China

[4] Zhongnan Univ Econ & Law, Sch Finance, Wuhan 430073, Peoples R China

[5] Nanjing Univ, Sch Management & Engn, Nanjing 210093, Peoples R China

来源：

FINANCE RESEARCH LETTERS | 2023年 / 58卷

关键词：

Fuzzy portfolio selection; Expected utility; Prospect theory; Disappointment theory; PROSPECT-THEORY; DECISION-MAKING; REFERENCE POINTS; DISAPPOINTMENT; OPTIMIZATION; BELIEFS; CHOICE;

D O I：

10.1016/j.frl.2023.104552

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

To address the challenge of risk minimization associated with investors' irrational investment decisions in the face of wealth fluctuations, this article integrates prospect theory and disap-pointment theory into the framework of multi-objective portfolio selection. By concurrently incorporating prospect theory and disappointment theory, this conceptual framework not only considers emotional factors but also offers a comprehensive depiction of individuals' decision-making processes amidst uncertainty. The proposed portfolio selection model aims to balance return and risk by maximizing both expected and total utility. The effectiveness of the proposed model is validated through comparisons with three other methods.

引用

页数：11

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