Modeling of Financial Investment Problems based on insights from the Prospect Theory

DOI

Bibliographic Information

Other Title
  • プロスペクト理論の知見による金融投資問題のモデル化

Description

This paper tries to model financial investment problems with insights from the prospect theory.<br>We build the expected value function from a financial investment by combining the value function and the reference point of the investor, and determine the investment ratios to the portfolio components by maximizing the expected value function. We compare the built model with the traditional mean-variance model, and discuss the rationality of the proposed model.

Journal

Keywords

Details 詳細情報について

  • CRID
    1390001205710920832
  • NII Article ID
    130004606742
  • DOI
    10.11497/jasmin.2013f.0.112.0
  • Text Lang
    ja
  • Data Source
    • JaLC
    • CiNii Articles
  • Abstract License Flag
    Disallowed

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