A NOTE ON PORTFOLIO CHOICE AND BEHAVIORAL FINANCE: SOME FOOD FOR THOUGHT

Authors

  • Marie PFIFFELMANN LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg.
  • Patrick ROGER LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg.

DOI:

https://doi.org/10.54695/bmi.164.4764

Keywords:

Behavioral portfolio choice, probability distortion, mental accounting, behavioral biases.

Abstract

In this note, we invite the reader to think about behavioral portfolio choice as a deviation from the standard Markowitz problem. The deviation has three origins; 1) the objective function to be maximized, 2) the probability measure under which prices and returns are characterized, and finally 3) the domain over which the optimization problem is solved. We then provide an illustration, from the Behavioral Portfolio Theory (BPT) of Shefrin and Statman (2000) to a set of relevant portfolio performance measures in a behavioral framework.

Author Biographies

Marie PFIFFELMANN, LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg.

LaRGE Research Center, EM
Strasbourg Business
School, University of
Strasbourg.

Patrick ROGER, LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg.

LaRGE Research Center, EM
Strasbourg Business
School, University of
Strasbourg.

Published

2021-04-22

How to Cite

PFIFFELMANN, M., & Patrick ROGER. (2021). A NOTE ON PORTFOLIO CHOICE AND BEHAVIORAL FINANCE: SOME FOOD FOR THOUGHT. Bankers, Markets & Investors, 164(1), 48. https://doi.org/10.54695/bmi.164.4764

Issue

Vol. 164 No. 1 (2021): Behavioral Finance

Section

Focus On