Dynamic cooperative investment in Saudi market by prospect theory approach

Anwar Almualim

doi:10.1117/12.3012396

19 December 2023 Dynamic cooperative investment in Saudi market by prospect theory approach

Anwar Almualim

Proceedings Volume 12936, International Conference on Mathematical and Statistical Physics, Computational Science, Education and Communication (ICMSCE 2023); 129360V (2023) https://doi.org/10.1117/12.3012396
Event: International Conference on Mathematical and Statistical Physics, Computational Science, Education and Communication (ICMSCE 2023), 2023, Istanbul, Turkey

Abstract

We introduce an alternative method to solve cooperative investment in a dynamic approach for mean-variance utility function by setting up time consistent mean-variance model based on compound independent axioms. an explicit formula to approximate the certainty equivalent for each investor corresponding to the mean-variance utility function based on the exponential utility function over the normal distribution is derived. Moreover, we establish the way of using alternative theories for decision-makers such as prospect theory to solve cooperative investment schemes. The numerical solutions and applied the method in Saudi Market are also shown.

Citation Download Citation

Anwar Almualim "Dynamic cooperative investment in Saudi market by prospect theory approach", Proc. SPIE 12936, International Conference on Mathematical and Statistical Physics, Computational Science, Education and Communication (ICMSCE 2023), 129360V (19 December 2023); https://doi.org/10.1117/12.3012396

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