Dynamic multi-period sparse portfolio selection model with asymmetric investors’ sentiments
作者：
Highlights：
• The asymmetric investors’ sentiments are taken into account in the dynamic portfolio.
• Investors’ behavior related investment decisions are modelled by Prospect Theory.
• Dynamic iteration rule of the investor’s expected return level is introduced.
• Sparse solutions of the presented model are given by the re-parametrisation algorithm.
• The terminal return is enhanced 9% and terminal risk is reduced 11.75%.
摘要
•The asymmetric investors’ sentiments are taken into account in the dynamic portfolio.•Investors’ behavior related investment decisions are modelled by Prospect Theory.•Dynamic iteration rule of the investor’s expected return level is introduced.•Sparse solutions of the presented model are given by the re-parametrisation algorithm.•The terminal return is enhanced 9% and terminal risk is reduced 11.75%.
论文关键词：Multi-period sparse portfolio,Asymmetric investors’ sentiments,Re-parametrisation trick
论文评审过程：Received 30 April 2020, Revised 22 February 2021, Accepted 23 March 2021, Available online 1 April 2021, Version of Record 17 April 2021.
论文官网地址：https://doi.org/10.1016/j.eswa.2021.114945
