Goal-based portfolio choice model with discounted preference
作者：
Highlights：
•
• Goal-based portfolio selection problem is proposed based on satisfying behavior.
• Behavioral portfolio selection model is modified based on cumulative prospect theory (CPT) as well as considering investors’ time discounting preference in psychology.
• Our model is solved by martingale methods and an analytical solution with satisfying behavior is derived.
• Selecting six different discounting functions to capture investors’ strategic changes.
• Investor with future bias performs adequate confidence and patience whereas investor with present bias tends to the immediate interests.
摘要
•Goal-based portfolio selection problem is proposed based on satisfying behavior.•Behavioral portfolio selection model is modified based on cumulative prospect theory (CPT) as well as considering investors’ time discounting preference in psychology.•Our model is solved by martingale methods and an analytical solution with satisfying behavior is derived.•Selecting six different discounting functions to capture investors’ strategic changes.•Investor with future bias performs adequate confidence and patience whereas investor with present bias tends to the immediate interests.
论文关键词：00-01,99-00,Goal-based portfolio choice,Discounted preference,Martingale methods,Cumulative prospect theory,Satisfying behavior
论文评审过程：Received 16 January 2017, Revised 7 June 2017, Available online 7 August 2017, Version of Record 31 August 2017.
论文官网地址：https://doi.org/10.1016/j.cam.2017.07.029
