This paper is done in a single period economy discussing the discrete-time behavioral portfolio choice under Cumulative Prospect Theory. A portfolio optimization model is set up with the goal of maximizing the distorted expected utility, and the analytic solutions for optimal allocation are obtained under the assumption that short-selling is forbidden. It is found that there is a unique optimal portfolio. Finally, the properties of the optimal portfolio solution θ, the CPT-ratio, and the parameter λ are discussed and proofs are provided.

Jia Li. Optimal Portfolio and Properties under Cumulative Prospect Theory. Academic Journal of Business & Management (2024) Vol. 6, Issue 10: 25-31. https://doi.org/10.25236/AJBM.2024.061005.

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