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این مقاله علمی پژوهشی (ISI) به زبان انگلیسی از نشریه الزویر مربوط به سال ۲۰۲۲ دارای ۲۰ صفحه انگلیسی با فرمت PDF می باشد در ادامه این صفحه لینک دانلود رایگان مقاله انگلیسی و بخشی از ترجمه فارسی مقاله موجود می باشد.
کد محصول: H691
سال نشر: ۲۰۲۲
نام ناشر (پایگاه داده): الزویر
نام مجله: European Journal of Operational Research
نوع مقاله: علمی پژوهشی (Research articles)
تعداد صفحه انگلیسی: ۲۰ صفحه PDF
عنوان کامل فارسی:
مقاله انگلیسی ۲۰۲۲ : بهینه سازی سبد سهام با ترجیحات رفتاری و حافظه سرمایه گذار
عنوان کامل انگلیسی:
Portfolio optimization with behavioural preferences and investor memory
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Abstract
In this paper, we investigate the performance of behavioural portfolio strategies. We incorporate the short-term and long-term memory of the investor, thus recasting the behavioural portfolio choice process in a dynamic setting. We evaluate the out-of-sample performance of a behavioural investor in relation to both a naïve investor who invests in an equally weighted portfolio and a rational investor, who maximises expected mean-variance utility. We report a number of findings. First, from an expected utility perspective, neither the rational investor nor the CPT investor achieves a risk-adjusted return or certainty equivalent return that significantly outperforms that of the naïve investor. Second, from a CPT utility perspective, the behavioural investor outperforms both the rational and naïve investors. Third, the CPT investor typically displays highly concentrated, lottery-like asset allocations, low turnover and highly stable portfolio allocations. Fourth, the addition of the investor’s memory into the portfolio choice process increases both diversification and turnover, leading to improved investment performance. Finally, by al- locating more weight to positively skewed assets and increasing portfolio concentration, the probability weighting function has more impact than the utility function on the behavioural investor’s performance. Our results are robust to the choice of reference return, estimation sample size, probability estimates, the probability weighting function and portfolio weight constraints.
Keywords: Portfolio optimization, Behavioural finance, Cumulative prospect theory, Investor memory, Naïve investment strategy
۱.Introduction
In this paper, we explore the investment performance of a ‘behavioural’ investor whose portfolio choices are described by the cumulative prospect theory of Tversky and Kahneman (1992) . Cumulative prospect theory (CPT), which was developed to address the shortcomings of expected utility theory (EUT) in accounting for the choices that individuals are observed to make in practice, has three distinct features. First, the value of an outcome to an individual is assumed to be derived from changes in the individual’s wealth relative to a reference level rather than from his final level of wealth. Second, the value function is S-shaped, i.e., it is concave in gains (reflecting risk-averse behaviour) and convex in losses (reflecting risk-seeking behaviour), and it is steeper for losses than for gains…
۶.Conclusion
In this paper, we explore how an investor with behavioural preferences that are determined by the cumulative prospect theory (CPT) of Tversky and Kahnemann ( 1992 ) is likely to fare in his investment decisions in a number of realistic investment set- tings. We compare the investment performance of the behavioural investor with that of an unskilled investor who invests in the naïve, equally weighted portfolio, and a rational mean-variance utility maximising investor. We consider seven further rational bench- marks, namely the maximum Sharpe ratio portfolio, the global minimum variance portfolio, the maximum mean-variance utility portfolio, the Bayesian shrinkage portfolio, the 1- and 2-norm constraint portfolios and the partial minimum variance portfolio. We evaluate investment performance from both EUT-based and CPT- based perspectives. We propose an alternative behavioural objective function that shares a number of features of the CPT function, which can be seen as a behavioural generalisation of in- vestment performance ratios that are commonly used in portfolio management. We also incorporate the investor’s short and long- term memory in his portfolio decisions, and in so doing, transform the portfolio choice problem into a dynamic process. Through a comprehensive sensitivity analysis, we investigate how each aspect of the investor’s behavioural preferences contribute to his relative investment performance…
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