Artem Titarenko

Elena Fedorova

This work describes investment portfolio optimization using linear loss averse function as well as comparison to traditional optimization methods like mean variance MV and CVaR. An empirical study is carried on Russian stock market indexes quotes, the results are compared to MV and CVaR methods. Proposing loss averse function portfolios outperform MV and CVaR portfolios as well as using adaptive model parameters improves the result even more.