The behaviourally based portfolio selection problem with investor's loss aversion and risk aversion biases in portfolio choice under uncertainty is studied. The main results of this work are developed heuristic approaches for the prospect theory model proposed by Kahneman and Tversky in 1979 as well as an empirical comparative analysis of this model and the index tracking model. The crucial assumption is that behavioural features of the prospect theory model provide better downside protection than traditional approaches to the portfolio selection problem.In this research the large scale computational results for the prospect theory model have been obtained for real financial market data with up to 225 assets. Previously, as far as we aware, only small laboratory tests (2-3 artificial assets) have been presented in the literature. In order to investigate empirically the performance of the behaviourally based model, a differential evolution algorithm and a genetic algorithm which are capable to deal with large universe of assets have been developed. The specific breeding and mutation as well as normalisation have been implemented in the algorithms. A tabulated comparative analysis of the algorithms' parameter choice is presented.The prospect theory model with the reference point being the index is compared to the index tracking model. A cardinality constraint has been implemented to the basic index tracking and the prospect theory models. The portfolio diversification benefit has been found. The aggressive behaviour in terms of returns of the prospect theory model with the reference point being the index leads to better performance of this model in the bullish market. However, it performed worse in a bearish market compared to the index tracking model. The tabulated comparative analysis of the performance of two studied models is provided in this paper for in-sample and out-of-sample tests. The performance of the studied models have been tested out-of-sample in different conditions using simulation of the distribution of a growing market and simulation of the t-distribution with fat tails which characterises the dynamics of a decreasing or crisis market.
In the paper we develop metaheuristic method based on differential evolution for finding efficient frontier in solving the portfolio optimisation problem for investor with non concave utility function which reflects asymmetric investor attitude to losses and gains.
The Islamic Republic of Mauritania as an independent State emerged as a result of the collapse of colonial French West Africa, which included Mauritania. Its independence was declared on November 28, 1960. At the turning point of historical epochs, under the influence of national liberation movements on the continent and the general democratization of world government institutions, wide opportunities opened up for political activity, both for individual parties and movements, and for a particular individual. The pressure of foreign monopolies, the archaic social structure, internal political instability and the complexity of relations with neighboring countries have become serious obstacles to the development of Mauritania. During the years of independence, Mauritania has repeatedly experienced coups d’etat, which could not but have a negative impact on the entire socio-political spectrum of this West African country. Decades of French colonial influence has been reflected in the formation of political institutions in Mauritania, such as the Constitutional Council and the judiciary. Mauritania’s domestic policy has been based on racial and ethnic lines for many years. The protracted confrontation resulted in a conflict between the black population mainly in the south of the country and the traditionally Berber Arabs living in the northern regions, whose representatives held leading state posts. Each new head of state who came to power in post-colonial Mauritania, among the main tasks of domestic development, set the task of uniting various ethnic groups. Despite the obvious difficulties in solving this issue, the main tasks of the country’s leadership in the field of domestic policy are strict compliance with the current legislation in order to restore public confidence in state institutions and psychological restructuring of the consciousness of the vast majority of the population, aimed at developing a new attitude to domestic political life. In the 1980s, the country began a movement for the right of women to participate in the socio-economic sphere. But only in the 21st century did they gain the right to hold political office, although they are still required to live under Sharia law. At the level of public consciousness, the participation of women in politics and in other spheres of public activity is not approved. Traditional slavery is a special problem of socio-political development.
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