Risk, reward, and beyond: on the behavioral sensitivities of mean-variance efficient portfolios

This paper surveys and extends the literature on the behavioral sensitivities of mean-variance efficient portfolios. We also compare the optimal portfolio allocation that results from either mean-variance or behavioral optimization. Near equivalence is concluded in case of normally distributed returns, based on the analytical expression of a general performance measure. The analysis contributes to a further exploration of the link between the mean-variance framework and insights from behavioral finance, and particularly expands one's capabilities to construct client-centric portfolios. Program code in Python for all the mathematics in the paper is also provided.

Jaar van publicatie:2018

Trefwoorden:A1 Journal article

BOF-keylabel:ja

Toegankelijkheid:Closed