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

Auteurs

  • MARIE PFIFFELMANN LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg.
  • PATRICK ROGER LaRGE Research Center, EM Strasbourg Business School, University of Strasbourg.

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

Mots-clés:

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

Résumé

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.

Bibliographies de l'auteur

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.

Publiée

2021-04-22

Comment citer

PFIFFELMANN, M., & ROGER, P. (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

Numéro

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

Rubrique

Focus On