We study optimal investment problems with transaction costs under Kahneman and Tversky's cumulative prospective theory (CPT). A CPT investor makes investment decisions in a single-period discrete time financial market consisting of one risk-free asset and one risky asset, in which trading the risky asset incurs proportional costs. The objective is to seek the optimal investment to maximize the prospect value of the investor's final wealth. We have obtained explicit optimal investment to this problem in two examples. An economic analysis is conducted to investigate the impact of the transaction costs and risk aversion on the optimal investment  .
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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with transaction costs under Kahneman and Tversky's cumulative prospective
under the framework of cumulative prospect
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discrete time financial market consisting of one risk-free asset and one risky asset, in which trading the risky asset incurs proportional
financial market with transaction
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to maximize
strategy that maximizes
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have obtained explicit optimal investment to this problem
obtain the optimal investment strategy explicitly
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strategy