  We study optimal investment problems under the framework of cumulative
prospect theory (CPT). A CPT investor makes investment decisions in a
single-period financial market with transaction costs. The objective is to seek
the optimal investment strategy that maximizes the prospect value of the
investor's final wealth. We obtain the optimal investment strategy explicitly
in two examples. An economic analysis is conducted to investigate the impact of
the transaction costs and risk aversion on the optimal investment strategy.
