英文标题：
《Optimal Investment with Transaction Costs under Cumulative Prospect
Theory in Discrete Time》
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作者：
Bin Zou and Rudi Zagst
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最新提交年份：
2016
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英文摘要：
We study optimal investment problems under the framework of cumulative prospect theory (CPT). A CPT investor makes investment decisions in a single-period financial market with transaction costs. The objective is to seek the optimal investment strategy that maximizes the prospect value of the investor\'s final wealth. We obtain the optimal investment strategy explicitly in two examples. An economic analysis is conducted to investigate the impact of the transaction costs and risk aversion on the optimal investment strategy.
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中文摘要：
我们在累积前景理论（CPT）的框架下研究了最优投资问题。CPT投资者在具有交易成本的单期金融市场中做出投资决策。目标是寻求最佳投资策略，使投资者最终财富的预期价值最大化。在两个例子中，我们明确地得到了最优投资策略。通过经济分析，研究了交易成本和风险规避对最优投资策略的影响。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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