Another look at portfolio optimization with mental accounts

DOI10.1016/j.amc.2021.126851OpenAlexW4200356998MaRDI QIDQ2668325

Wan-Yi Chiu

Publication date: 3 March 2022

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.amc.2021.126851

zbMATH Keywords

value-at-riskSharpe ratiosafety-firstmean-variance portfoliobehavioral portfoliomean-VaR model

Mathematics Subject Classification ID

Applications of statistics (62Pxx) Actuarial science and mathematical finance (91Gxx) Multivariate analysis (62Hxx)

Cites Work

• Unnamed Item
• Linear statistical inference for global and local minimum variance portfolios
• Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
• Determination and estimation of risk aversion coefficients
• How risky is the optimal portfolio which maximizes the Sharpe ratio?
• Boundaries of the risk aversion coefficient: should we invest in the global minimum variance portfolio?
• Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
• Safety First and the Holding of Assets
• Safety-first portfolio selection

This page was built for publication: Another look at portfolio optimization with mental accounts