Multi-period investment strategies under Cumulative Prospect Theory
  In this article, inspired by Shi, et al. we investigate the optimal portfolio selection with one risk-free asset and one risky asset in a multiple period setting under cumulative prospect theory (CPT). Compared with their study, our novelty is that we consider a stochastic benchmark, and portfolio constraints. We test the sensitivity of the optimal CPT-investment strategies to different model parameters by performing a numerical analysis. 
Liurui Deng and Traian A. Pirvu
q-fin.PM math.OC