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	Behavioral Portfolio Optimization with Social Reference Point
	Shi, Yun1; Li, Duan; Cui, Xiangyu
	2015
关键词	Portfolio optimization reference point prospect theory social comparison relative wealth concern
卷号	359
DOI	10.1007/978-3-319-18161-5_23
页码	269-280
英文摘要	In this study, we address the social interaction process in which PT (Prospect Theory) preferences are influenced by other market participants, e.g., regular CRRA (Constant Relative Risk Averse) investors or other PT investors, and study then the long run wealth convergence of the two trading parties: one PT agent vs. one CRRA agent or both agents of PT types. In the model with one PT agent vs. one CRRA agent, the PT agent knows the CRRA agent's optimal terminal wealth and takes it as his/her reference point. If the PT agent starts with an initial wealth level higher than that of the CRRA agent, he/she will always do better than the CRRA agent by imitating the CRRA agent's policy. On the other hand, if the PT agent starts with a wealth level lower than that of the CRRA agent, he/she can still do better than the CRRA agent by adopting a "gambling policy". When both trading parties are of PT type, we consider two types of reference points: either both PT agents take their average wealth as their reference point or they are mutually reference dependent. Under both situations, we give sufficient conditions on the long run wealth convergence.
会议录出版者	SPRINGER-VERLAG BERLIN
会议录出版地	HEIDELBERGER PLATZ 3, D-14197 BERLIN, GERMANY
语种	英语
WOS研究方向	Computer Science ; Operations Research & Management Science
WOS记录号	WOS:000377860400023
内容类型	会议论文
源URL	[http://10.2.47.112/handle/2XS4QKH4/3034]
专题	上海财经大学
作者单位	1.Shanghai Univ, Sch Management, Shanghai, Peoples R China; 2.Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Hong Kong, Hong Kong, Peoples R China; 3.Shanghai Univ Finance & Econ, Sch Stat & Management, Shanghai, Peoples R China
推荐引用方式 GB/T 7714	Shi, Yun,Li, Duan,Cui, Xiangyu. Behavioral Portfolio Optimization with Social Reference Point[C]. 见:.

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