Multi-period portfolio with a dynamic reference point considering disappointment feelings
研究了参考依赖、失望情绪和风险厌恶对投资组合选择的影响，构建了基于参考点更新模型的多期投资组合框架，并用布谷鸟搜索等算法求解，发现消极行为在多数情况下能获得最佳最终财富。
Reference dependence, disappointment feelings and risk aversion are three important behavioural characteristics; the main concern of this paper is their influence (especially that of reference dependence) on portfolio selection. We develop a reference point updating model that divides investors into two types, i.e. negative and positive, based on their responses to minimum requirements. On this basis, utilising prospect theory and disappointment theory, a multi-period portfolio selection frame with some realistic constraints is built. To solve the proposed model, we employ a cuckoo search and compare it with differential evolution, particle swarm optimisation and simulated annealing in an empirical study. In this empirical study, three reference point updating methods are compared and analysed, and the results indicate that negative behaviour yields the best terminal wealth in many cases.