Abstract
The aim of this manuscript is to analyze the monotonicity and limit properties of the optimal investment strategy in a behavioral portfolio choice model under cumulative prospect theory over risk aversion coefficient, loss aversion coefficient, and the market opportunity. We show that the optimal investment strategy is nonincreasing of the loss aversion coefficient, and strictly increasing of the Sharpe ratio for normal distributions. The monotonicity properties over risk aversion coefficient depend on the position of the investor and the goodness of the actual and perceived market. The piecewise-linear utility is also discussed. An interesting finding is that when the excess return follows an elliptical distribution, the optimal investment strategy over small mean for piecewise-power and piecewise-linear utility exhibits different limit behavior.
Sign-in/Register to access full text options 
Talk to us
Join us for a 30 min session where you can share your feedback and ask us any queries you have
Schedule a callDisclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.
