Robust multi-period portfolio model based on prospect theory and ALMV-PSO algorithm

作者：

Highlights：

• We derive a robust multi-period portfolio model considering investors’ behavioral factors.

• A PSO with an aging leader and multi-frequency vibration (ALMV-PSO) is proposed.

• The ALMV-PSO algorithm is effective to solve the constrained multi-period portfolio model.

• The proposed portfolio model provides an effective tool for a real multi-period investment.

摘要

•We derive a robust multi-period portfolio model considering investors’ behavioral factors.•A PSO with an aging leader and multi-frequency vibration (ALMV-PSO) is proposed.•The ALMV-PSO algorithm is effective to solve the constrained multi-period portfolio model.•The proposed portfolio model provides an effective tool for a real multi-period investment.

论文关键词：Finance,Portfolio selection,Prospect theory,Robust optimization,Multi-period portfolio,Particle swarm optimization

论文评审过程：Available online 5 May 2015, Version of Record 11 June 2015.

论文官网地址：https://doi.org/10.1016/j.eswa.2015.04.063