Multi-period investment strategies under Cumulative Prospect Theory
Portfolio optimization, studied by Deng and Pirvu in 2019. The abstract does not mention a benchmark, an out-of-sample test, transaction costs, multiple testing or the size of the universe.
“Compared with their study, our novelty is that we consider a stochastic benchmark, and portfolio constraints.”
StrategyPortfolio optimization
Missing from abstract: benchmark, out-of-sample test, costs, multiple testing, universe
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The paper's neighbourhoodPortfolio optimization by year
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