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Portfolio choice under cumulative prospect theory: sensitivity analysis and an empirical study |
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| Authors: | Consigli Giorgio Hitaj Asmerilda Mastrogiacomo Elisa |
| Institution: | 1.Department of Management, Economics and Quantitative Methods, University of Bergamo, Via dei Caniana 2, 24127, Bergamo, BG, Italy ;2.Department of Economics and Management, University of Pavia, Via San Felice al Monastero, 7, 27100, Pavia, PV, Italy ;3.Department of Economics, Insubria University, Via Monte Generoso 71, 21100, Varese, VA, Italy ; |
| Abstract: | Computational Management Science - A sensitivity analysis of the impact of cumulative prospect theory (CPT) parameters on a Mean/Risk efficient frontier is performed through a simulation procedure,... |
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