The DOI matches its Crossref record; 2 of the 2 references it cites were found in a registry or an index.
Behavioral Portfolio Theory
Abstract
We develop a positive behavioral portfolio theory (BPT) and explore its implications for portfolio construction and security design. The optimal portfolios of BPT investors resemble combinations of bonds and lottery tickets, consistent with Friedman and Savage's (1948) observation. We compare the BPT efficient frontier with the mean-variance efficient frontier and show that, in general, the two frontiers do not coincide. Optimal BPT portfolios are also different from optimal CAPM portfolios. In particular, the CAPM twofund separation does not hold in BPT. We present BPT in a single mental account version (BPT-SA) and a multiple mental account version (BPT-MA). BPT-SA investors integrate their portfolios into a single mental account, while BPT-MA investors segregate their port? folios into several mental accounts. BPT-MA portfolios resemble layered pyramids, where layers are associated with aspirations. We explore a two-layer portfolio where the low aspiration layer is designed to avoid poverty while the high aspiration layer is designed for a shot at riches.
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Citations
Cites
Prospect Theory: An Analysis of Decision under Risk
Kahneman, D., & Tversky, A. (1979) · Econometrica · doi:10.2307/1914185 · Cited by 48,524
An economic theory of self-control.
Thaler, R. H., & Shefrin, H. M. (1981) · Journal of Political Economy · doi:10.1086/260971 · Cited by 2,203
Self-citation
Cited by
Variable Selection for Portfolio Choice
AÏT‐SAHALI, Y., & Brandt, M. W. (2001) · The Journal of Finance · doi:10.1111/0022-1082.00369 · Cited by 409
Behaviorial Finance: Past Battles and Future Engagements
Statman, M. (1999) · Financial Analysts Journal · doi:10.2469/faj.v55.n6.2311 · Cited by 357
Self-citationBEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
Jin, H., & Yu Zhou, X. (2008) · Mathematical Finance · doi:10.1111/j.1467-9965.2008.00339.x · Cited by 316
Brandt, M. W. (2010) · Handbook of Financial Econometrics: Tools and Techniques · doi:10.1016/b978-0-444-50897-3.50008-0 · Cited by 304
Behavioral finance: Finance with normal people
Statman, M. (2014) · Borsa Istanbul Review · doi:10.1016/j.bir.2014.03.001 · Cited by 183
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Metadata
- Authors
- Shefrin, H., & Statman, M.
- Venue
- The Journal of Financial and Quantitative Analysis
- Publisher
- JSTOR
- Published
- 2000-06
- Volume
- 35
- Issue
- 2
- Pages
- 127
- ISSN
- 0022-1090 (ISSN-L)
- OpenAlex
- W2138053063
- Cited by
- 1,038
- References
- 2
- FWCI
- 10.49
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
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