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Reference dependence, disappointment feelings and risk aversion are three important behavioural characteristics; the main concern of this paper is their influence (especially that of reference dependence) on portfolio selection. We develop a reference point updating model that divides investors into two types, i.e. negative and positive, based on their responses to minimum requirements. On this basis, utilising prospect theory and disappointment theory, a multi-period portfolio selection frame with some realistic constraints is built. To solve the proposed model, we employ a cuckoo search and compare it with differential evolution, particle swarm optimisation and simulated annealing in an empirical study. In this empirical study, three reference point updating methods are compared and analysed, and the results indicate that negative behaviour yields the best terminal wealth in many cases.

Multi-period portfolio with a dynamic reference point considering disappointment feelings