A sensitivity analysis of the impact of Cumulative Prospect Theory (CPT) parameters on a Mean/Risk efficient frontier is performed, through a simulation procedure, assuming a Multivariate Variance Gamma distribution for log-returns. The optimal investment problem for an agent with CPT...

This handbook includes contributions related to optimization, pricing and valuation problems, risk modeling and decision making problems arising in global financial and commodity markets from the perspective of Operations Research and Management Science. The book is structured in three parts,...