publication . Thesis . 2014

A behavioural approach to financial portfolio selection problem: an empirical study using heuristics

Grishina, Nina;
Open Access English
  • Published: 01 Jan 2014
  • Country: United Kingdom
Abstract
This thesis was submitted for the degree of Doctor of Philosophy and awarded by Brunel University The behaviourally based portfolio selection problem with investor's loss aversion and risk aversion biases in portfolio choice under uncertainty are studied. The main results of this work are developed heuristic approaches for the prospect theory and cumulative prospect theory models proposed by Kahneman and Tversky in 1979 and 1992 as well as an empirical comparative analysis of these models and the traditional mean variance and index tracking models. The crucial assumption is that behavioural features of the (cumulative) prospect theory model provide better downsi...
Subjects
free text keywords: Portfolio optimisation, Index tracking, Risk management, Cosmetis algorithm, Differential edcation alporithm
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