In this article, inspired by Shi, et al. we investigate the optimal portfolio selection with one risk-free asset and one risky asset in a multiple period set- ting under cumulative prospect theory (CPT). Compared with their study, our novelty is that we consider probability distortions , and portfolio constraints. In doing numerical analysis, we test the sensitivity of the optimal CPT-investment strategies to different model parameters  .
In this article, inspired by Shi, et al. we investigate the optimal portfolio selection with one risk-free asset and one risky asset in a multiple period setting under cumulative prospect theory (CPT). Compared with their study, our novelty is that we consider a stochastic benchmark , and portfolio constraints. We test the sensitivity of the optimal CPT-investment strategies to different model parameters by performing a numerical analysis .
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set- ting
setting
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probability distortions
a stochastic benchmark
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In doing numerical analysis, we
We
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by performing a numerical analysis