Master Thesis Online
Optimization under prospect theory: a comparison of heuristic approaches
Lejeune, Arnaud 
Promotor(s) :
Hambuckers, Julien
Date of defense : 16-Jan-2023/27-Jan-2023 • Permalink : http://hdl.handle.net/2268.2/16734
Details
| Title : | Optimization under prospect theory: a comparison of heuristic approaches |
| Author : | Lejeune, Arnaud
|
| Date of defense : | 16-Jan-2023/27-Jan-2023 |
| Advisor(s) : | Hambuckers, Julien
|
| Committee's member(s) : | Schyns, Michael
|
| Language : | English |
| Discipline(s) : | Business & economic sciences > Finance |
| Institution(s) : | Université de Liège, Liège, Belgique |
| Degree: | Master en ingénieur de gestion, à finalité spécialisée en Financial Engineering |
| Faculty: | Master thesis of the HEC-Ecole de gestion de l'Université de Liège |
Abstract
[en] This master thesis deals with portfolio optimisation under prospect theory, which aims to better reflect reality in terms of purchasing behaviour than modern utility theory. 3 optimisation algorithms are implemented in this work, namely the genetic algorithm, the simulated annealing algorithm and the ant colony algorithm. Their performances are evaluated and compared on several criteria, and in several datasets (CAC40, S&P500 and Nasdaq).
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The University of Liège does not guarantee the scientific quality of these students' works or the accuracy of all the information they contain.