{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2022,3,30]],"date-time":"2022-03-30T22:33:10Z","timestamp":1648679590922},"reference-count":44,"publisher":"EDP Sciences","issue":"3","license":[{"start":{"date-parts":[[2018,9,19]],"date-time":"2018-09-19T00:00:00Z","timestamp":1537315200000},"content-version":"vor","delay-in-days":80,"URL":"https:\/\/www.edpsciences.org\/en\/authors\/copyright-and-licensing"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["RAIRO-Oper. Res."],"accepted":{"date-parts":[[2017,4,17]]},"published-print":{"date-parts":[[2018,7]]},"abstract":"<jats:p>This paper presents a behavioral portfolio selection model with time discounting preference. Firstly, we discuss the portfolio selection problem and then modify this model based on cumulative prospect theory (CPT) as well as considering investors\u2019 time discounting preference in psychology. Furthermore, an analytical solution with satisfying behavior is given for our proposed model, the results show that when investors\u2019 goals are very ambitious, they put a high proportion of their wealth in long-term goals and adopt aggressive investment strategies with high leverage to reach short-term goals and the overall investment strategy also displays high leverage. Finally, numerical analysis is given and it is shown that investor who tends to future bias performs adequate confidence and patience whereas investor with present bias is apt to the immediate interests.<\/jats:p>","DOI":"10.1051\/ro\/2017039","type":"journal-article","created":{"date-parts":[[2017,5,19]],"date-time":"2017-05-19T06:38:55Z","timestamp":1495175935000},"page":"691-712","source":"Crossref","is-referenced-by-count":0,"title":["An analytical approach for behavioral portfolio model with time discounting preference"],"prefix":"10.1051","volume":"52","author":[{"given":"Guang","family":"Yang","sequence":"first","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Xinwang","family":"Liu","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Jindong","family":"Qin","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]},{"given":"Ahmed","family":"Khan","sequence":"additional","affiliation":[],"role":[{"role":"author","vocabulary":"crossref"}]}],"member":"250","published-online":{"date-parts":[[2018,9,19]]},"reference":[{"key":"R1","doi-asserted-by":"crossref","first-page":"37","DOI":"10.1901\/jeab.2003.79-37","volume":"79","author":"Ainslie","year":"2003","journal-title":"J. Experimental Anal. Behavior"},{"key":"R2","doi-asserted-by":"crossref","first-page":"1476","DOI":"10.1257\/aer.20150208","volume":"106","author":"Attema","year":"2016","journal-title":"Amer. Econ. Rev."},{"key":"R3","doi-asserted-by":"crossref","first-page":"2015","DOI":"10.1287\/mnsc.1100.1219","volume":"56","author":"Attema","year":"2010","journal-title":"Manag. Sci."},{"key":"R4","doi-asserted-by":"crossref","first-page":"2066","DOI":"10.1257\/aer.98.5.2066","volume":"98","author":"Barberis","year":"2008","journal-title":"Amer. Econ. Rev."},{"key":"R5","doi-asserted-by":"crossref","first-page":"73","DOI":"10.2307\/2118511","volume":"110","author":"Benartzi","year":"1995","journal-title":"Quarterly J. Econ."},{"key":"R6","doi-asserted-by":"crossref","first-page":"973","DOI":"10.1162\/0034653043125167","volume":"86","author":"Berkelaar","year":"2004","journal-title":"Rev. Econ. Statis."},{"key":"R7","doi-asserted-by":"crossref","first-page":"8","DOI":"10.3905\/jpm.1993.409462","volume":"20","author":"Black","year":"1993","journal-title":"J. Portfolio Management"},{"key":"R8","unstructured":"Jensen Black M.C., \nF. and \nScholes M., \nPortfolio selection: efficient diversification of investments. \nPraeger, New York \n(1972)"},{"key":"R9","doi-asserted-by":"crossref","first-page":"71","DOI":"10.1287\/mnsc.1080.0929","volume":"55","author":"Brown","year":"2009","journal-title":"Manag. Sci."},{"key":"R10","doi-asserted-by":"crossref","first-page":"771","DOI":"10.1037\/0278-7393.22.3.771","volume":"22","author":"Chapman","year":"1996","journal-title":"J. Experimental Psychology-Learing Memory and Cognition"},{"key":"R11","doi-asserted-by":"crossref","first-page":"235","DOI":"10.1037\/1076-898X.7.3.235","volume":"7","author":"Chapman","year":"2001","journal-title":"J. Experimental Psychology-Appl."},{"key":"R12","doi-asserted-by":"crossref","first-page":"101","DOI":"10.1901\/jaba.2001.34-101","volume":"34","author":"Critchfield","year":"2001","journal-title":"J. Appl. Behavior Anal."},{"key":"R13","doi-asserted-by":"crossref","first-page":"427","DOI":"10.1111\/j.1540-6261.1992.tb04398.x","volume":"47","author":"Fama","year":"1992","journal-title":"J. Finance"},{"key":"R14","doi-asserted-by":"crossref","first-page":"1947","DOI":"10.1111\/j.1540-6261.1996.tb05233.x","volume":"51","author":"Fama","year":"1996","journal-title":"J. Finance"},{"key":"R15","doi-asserted-by":"crossref","first-page":"675","DOI":"10.1086\/427643","volume":"78","author":"Gomes","year":"2005","journal-title":"J. Business"},{"key":"R16","doi-asserted-by":"crossref","first-page":"496","DOI":"10.1093\/icb\/36.4.496","volume":"36","author":"Green","year":"1996","journal-title":"Amer. Zoologist"},{"key":"R17","doi-asserted-by":"crossref","first-page":"261","DOI":"10.1111\/j.1465-7295.2007.00067.x","volume":"46","author":"Gueth","year":"2008","journal-title":"Economic Inquiry"},{"key":"R18","doi-asserted-by":"crossref","first-page":"187","DOI":"10.1017\/S0515036100014458","volume":"36","author":"Hamada","year":"2006","journal-title":"Astin Bulletin"},{"key":"R19","doi-asserted-by":"crossref","first-page":"153","DOI":"10.1002\/mar.20052","volume":"22","author":"Hantula","year":"2005","journal-title":"Psychology and Maketing"},{"key":"R20","unstructured":"Harrison G.W. and \nLau M.L., \nIs the evidence for hyperbolic discounting in humans just an experimental artefact? Behavioral and Brain Sci. 28 (2005) 657."},{"key":"R21","doi-asserted-by":"crossref","first-page":"315","DOI":"10.1287\/mnsc.1100.1269","volume":"57","author":"DongHe","year":"2011","journal-title":"Manag. Sci."},{"key":"R22","doi-asserted-by":"crossref","unstructured":"Jin H. and \nYu Zhou X. \nContinuous-time behavioral portfolio selection. \nIn 47th IEEE Conference on Decision and Control, CDC, IEEE Conference on Decision and Control (2008) 5602\u20135607.","DOI":"10.1109\/CDC.2008.4738833"},{"key":"R23","doi-asserted-by":"crossref","first-page":"122","DOI":"10.1111\/j.1467-9965.2011.00490.x","volume":"23","author":"Jin","year":"2013","journal-title":"Math. Finance"},{"key":"R24","first-page":"262","volume":"30","author":"Karatzas","year":"1989","journal-title":"Brownian motion and stochastic calculus"},{"key":"R25","doi-asserted-by":"crossref","first-page":"1015","DOI":"10.1093\/rfs\/hhg062","volume":"17","author":"Levy","year":"2004","journal-title":"Rev. Financial Studies"},{"key":"R26","doi-asserted-by":"crossref","first-page":"151","DOI":"10.1086\/257177","volume":"60","author":"Markowitz","year":"1952","journal-title":"J. Political Economy"},{"key":"R27","doi-asserted-by":"crossref","first-page":"1851","DOI":"10.2307\/2329621","volume":"7","author":"Merton","year":"1972","journal-title":"J. Financial and Quantitative Anal."},{"key":"R28","doi-asserted-by":"crossref","first-page":"263","DOI":"10.1901\/jeab.1995.64-263","volume":"64","author":"Myerson","year":"1995","journal-title":"J. Experimental Anal. Behavior"},{"key":"R29","doi-asserted-by":"crossref","first-page":"1","DOI":"10.1016\/j.beproc.2015.02.014","volume":"115","author":"Paglieri","year":"2015","journal-title":"Behavioural Processes"},{"key":"R30","doi-asserted-by":"crossref","first-page":"511","DOI":"10.1111\/j.0347-0520.2004.00375.x","volume":"106","author":"Prelec","year":"2004","journal-title":"Scandinavian J. Econ."},{"key":"R31","first-page":"1","volume":"19","author":"Rasonyi","year":"2014","journal-title":"Electr. Commun. Probab."},{"key":"R32","doi-asserted-by":"crossref","first-page":"118","DOI":"10.1006\/jvbe.2000.1758","volume":"58","author":"Saunders","year":"2001","journal-title":"J. Vocational Behavior"},{"key":"R33","doi-asserted-by":"crossref","first-page":"470","DOI":"10.1287\/mnsc.1080.0942","volume":"55","author":"Sayman","year":"2009","journal-title":"Mang. Sci."},{"key":"R34","doi-asserted-by":"crossref","first-page":"277","DOI":"10.1287\/mnsc.9.2.277","volume":"9","author":"Sharpe","year":"1963","journal-title":"Manag. Sci."},{"key":"R35","first-page":"425","volume":"19","author":"Sharpe","year":"1964","journal-title":"J. Finance"},{"key":"R36","doi-asserted-by":"crossref","first-page":"393","DOI":"10.1002\/jeab.139","volume":"103","author":"Shavit","year":"2015","journal-title":"Experimental Anal. Behavior"},{"key":"R37","doi-asserted-by":"crossref","first-page":"127","DOI":"10.2307\/2676187","volume":"35","author":"Shefrin","year":"2000","journal-title":"J. Financial and Quantitative Anal."},{"key":"R38","doi-asserted-by":"crossref","first-page":"653","DOI":"10.1016\/S0167-4870(03)00007-2","volume":"24","author":"Smith","year":"2003","journal-title":"J. Econ. Psychology"},{"key":"R39","doi-asserted-by":"crossref","first-page":"456","DOI":"10.1016\/j.geb.2010.05.005","volume":"71","author":"Takeuchi","year":"2011","journal-title":"Games and Economic Behavior"},{"key":"R40","doi-asserted-by":"crossref","first-page":"65","DOI":"10.2307\/2296205","volume":"67","author":"Tobin","year":"1958","journal-title":"Rev. Econ. Studies"},{"key":"R41","doi-asserted-by":"crossref","first-page":"297","DOI":"10.1007\/BF00122574","volume":"5","author":"Tversky","year":"1992","journal-title":"J. Risk Uncertainty"},{"key":"R42","first-page":"223","volume":"162","author":"Van Huizen","year":"2014","journal-title":"Econ.-Netherlands"},{"key":"R43","doi-asserted-by":"crossref","first-page":"65","DOI":"10.1037\/npe0000018","volume":"7","author":"Waegeman","year":"2014","journal-title":"J. Neuroscience Psychol. Econ."},{"key":"R44","first-page":"99","volume":"55","author":"Yaari","year":"1987","journal-title":"Econ."}],"container-title":["RAIRO - Operations Research"],"original-title":[],"link":[{"URL":"https:\/\/www.rairo-ro.org\/10.1051\/ro\/2017039\/pdf","content-type":"unspecified","content-version":"vor","intended-application":"similarity-checking"}],"deposited":{"date-parts":[[2020,3,20]],"date-time":"2020-03-20T08:12:51Z","timestamp":1584691971000},"score":1,"resource":{"primary":{"URL":"https:\/\/www.rairo-ro.org\/10.1051\/ro\/2017039"}},"subtitle":[],"short-title":[],"issued":{"date-parts":[[2018,7]]},"references-count":44,"journal-issue":{"issue":"3"},"alternative-id":["ro160283"],"URL":"https:\/\/doi.org\/10.1051\/ro\/2017039","relation":{},"ISSN":["0399-0559","1290-3868"],"issn-type":[{"value":"0399-0559","type":"print"},{"value":"1290-3868","type":"electronic"}],"subject":[],"published":{"date-parts":[[2018,7]]}}}