Algorithm Implementation and Research of Prospect Theory Portfolio Optimization Model

DOI

10.2991/ssmi-18.2019.5How to use a DOI?

Keywords

portfolio optimization, Prospect theory utility model, particle swarm optimization.

Abstract

With the continuous development of society, investment has become an indispensable skill for everyone. The research on portfolio optimization has received more and more attention from the public. This paper first introduces the Prospect Theory model developed on the basis of expected utility theory, and then combines the particle swarm optimization algorithm to empirically analyze the feasibility of the two in the portfolio optimization research,and then draws corresponding conclusions. Through the research and solution of the problem, this article will provide some reasonable opinions on personal investment behavior, aiming at playing a positive role in personal investment and playing a certain role in promoting the prosperity and development of the securities investment market.

Copyright

© 2019, the Authors. Published by Atlantis Press.

Open Access

This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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TY  - CONF
AU  - Mengying Chang
AU  - Yang Xu
AU  - Yulian Fan
PY  - 2019/02
DA  - 2019/02
TI  - Algorithm Implementation and Research of Prospect Theory Portfolio Optimization Model
BT  - Proceedings of the 2018 International Symposium on Social Science and Management Innovation (SSMI 2018)
PB  - Atlantis Press
SP  - 22
EP  - 27
SN  - 2352-5428
UR  - https://doi.org/10.2991/ssmi-18.2019.5
DO  - 10.2991/ssmi-18.2019.5
ID  - Chang2019/02
ER  -