MATHEMATICAL MODEL OF BEHAVIORAL APPROACH TO PORTFOLIO SELECTION

Q: How can I download an article?

To download an article from SID, first log in to the site, search for the article title, and click on the 'Download Article' option.

Q: How can I download an ISI article?

To download an ISI article on SID, enter the keyword or article title in the search bar, view the relevant results, click on the desired article, and select the 'Download Article' option.

Q: How can I access the SID database?

To access the SID database, visit SID.ir, create an account, and log in to access scientific resources.

Q: Is downloading articles from SID free?

Some articles on SID are available for free, while others require payment. Details are specified on the article's page.

ROODPOSHTI F.R.; HEYBATI F.; MOUSAVI S.R.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

Journal Paper

Paper Information

Journal: FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT) Year:2012 | Volume:3 | Issue:12 Page(s): 17-37

Download Full-Text

Persian Verion

View:

1,962

Download:

Cites:

Information Journal Paper

Title

MATHEMATICAL MODEL OF BEHAVIORAL APPROACH TO PORTFOLIO SELECTION

Author(s)

ROODPOSHTI F.R. | HEYBATI F. | MOUSAVI S.R. | Issue Writer Certificate

Keywords

BEHAVIORAL FINANCEQ2

INVESTMENT PORTFOLIOQ2

MENTAL ACCOUNTINGQ1

ASYMMETRIC RISK PREFERENCESQ2

LOSS A VERSIONQ2

Abstract

Standard finance theory is a prescriptive theory of what the investors should do, but BEHAVIORAL FINANCE is the study of the influence of psychology on the behavior of financial practitioners and the subsequent effect on markets. Kahneman and Tversky (1979, 1992) showed that four novel concepts (Loss Aversion, ASYMMETRIC RISK PREFERENCES, MENTAL ACCOUNTING, and Probability Weighting Function) in Cumulative Prospect Theory.In this research, concepts of BEHAVIORAL FINANCE are surveyed and the mathematical model of portfolio selection in framework of BEHAVIORAL FINANCE theories is presented. Historical data of TED PIX for 10 years has been used and separated to 2 parts of test and evaluation groups. The optimum weight for risky asset proposed by standard mean-variance and behavioral model based on returns with standard deviation and semi standard deviation for the first 7 years (test data) in the 3 months periods. After that, returns of 81 optimum portfolios in a three years evaluation period are calculated. Statistical results show that in Tehran Stock Exchange the research hypothesis, return of behavioral model is greater than return of standard mean-variance model, was rejected, but behavioral portfolio risk is significantly less than the standard model.

Cites

EXTRACTION OF A MATHEMATICAL CAPITAL ASSET PRICING MODEL WITHIN THE FRAMEWORK OF MENTAL ACCOUNTING

References

Cite

APA: Copy

ROODPOSHTI, F.R., HEYBATI, F., & MOUSAVI, S.R.. (2012). MATHEMATICAL MODEL OF BEHAVIORAL APPROACH TO PORTFOLIO SELECTION. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), 3(12), 17-37. SID. https://sid.ir/paper/197667/en

Vancouver: Copy

ROODPOSHTI F.R., HEYBATI F., MOUSAVI S.R.. MATHEMATICAL MODEL OF BEHAVIORAL APPROACH TO PORTFOLIO SELECTION. FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT)[Internet]. 2012;3(12):17-37. Available from: https://sid.ir/paper/197667/en

IEEE: Copy

F.R. ROODPOSHTI, F. HEYBATI, and S.R. MOUSAVI, “MATHEMATICAL MODEL OF BEHAVIORAL APPROACH TO PORTFOLIO SELECTION,” FINANCIAL ENGINEERING AND SECURITIES MANAGEMENT (PORTFOLIO MANAGEMENT), vol. 3, no. 12, pp. 17–37, 2012, [Online]. Available: https://sid.ir/paper/197667/en

Related Journal Papers