SURVEYING EFFECTS OF CLASSIC AND MODERN RISK MEASURES ON BEHAVIORAL PORTFOLIO SELECTION MODEL

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HEYBATI F.; TAGHAVI M.; MOUSAVI S.R.

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2014 | Volume:7 | Issue:21 Page(s): 87-99

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Title

SURVEYING EFFECTS OF CLASSIC AND MODERN RISK MEASURES ON BEHAVIORAL PORTFOLIO SELECTION MODEL

Author(s)

HEYBATI F. | TAGHAVI M. | MOUSAVI S.R. | Issue Writer Certificate

Keywords

BEHAVIORAL FINANCEQ2

STANDARD DEVIATIONQ3

INVESTMENT PORTFOLIOSQ3

Abstract

BEHAVIORAL FINANCE is the study of the influence of psychology on the behavior of financial practitioners and the subsequent effect on markets. In this research, concepts of BEHAVIORAL FINANCE are surveyed and then the portfolio selection model in framework of BEHAVIORAL FINANCE theories is presented and compared with the Mean-Variance rational pattern. Historical data of TEDPIX 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 concept of BEHAVIORAL FINANCE regarding in this research (Loss Aversion, Asymmetric Risk Preferences, and Mental Accounting) lead to better portfolios. Although the return of the portfolios in standard and behavioral model, statistically are not significantly different, the risk of the portfolios are significantly less than the standard model, means 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. Survey of effect of STANDARD DEVIATION and semi STANDARD DEVIATION on portfolio construction shows that the portfolios based on semi STANDARD DEVIATION has less risk, although the return of the portfolios are not significantly different.

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APA: Copy

HEYBATI, F., TAGHAVI, M., & MOUSAVI, S.R.. (2014). SURVEYING EFFECTS OF CLASSIC AND MODERN RISK MEASURES ON BEHAVIORAL PORTFOLIO SELECTION MODEL. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 7(21), 87-99. SID. https://sid.ir/paper/200362/en

Vancouver: Copy

HEYBATI F., TAGHAVI M., MOUSAVI S.R.. SURVEYING EFFECTS OF CLASSIC AND MODERN RISK MEASURES ON BEHAVIORAL PORTFOLIO SELECTION MODEL. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2014;7(21):87-99. Available from: https://sid.ir/paper/200362/en

IEEE: Copy

F. HEYBATI, M. TAGHAVI, and S.R. MOUSAVI, “SURVEYING EFFECTS OF CLASSIC AND MODERN RISK MEASURES ON BEHAVIORAL PORTFOLIO SELECTION MODEL,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 7, no. 21, pp. 87–99, 2014, [Online]. Available: https://sid.ir/paper/200362/en

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