Proceedings of the 2018 International Symposium on Social Science and Management Innovation (SSMI 2018)

Algorithm Implementation and Research of Prospect Theory Portfolio Optimization Model

Authors
Mengying Chang, Yang Xu, Yulian Fan
Corresponding Author
Mengying Chang
Available Online February 2019.
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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Volume Title
Proceedings of the 2018 International Symposium on Social Science and Management Innovation (SSMI 2018)
Series
Advances in Economics, Business and Management Research
Publication Date
February 2019
ISBN
978-94-6252-667-9
ISSN
2352-5428
DOI
10.2991/ssmi-18.2019.5How to use a DOI?
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/).

Cite this article

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  -