| Item Type |
Journal paper
|
| Abstract |
This paper combines a behavioral reward-risk model based on prospect theory with multiple investment accounts to explain the asset allocation puzzle, that is, the observation that investors violate the two-fund separation property of
optimal mean-variance allocations. In a empirical analysis with U.S. data, the authors show that investors with preference according to the behavioral reward-risk model and multiple investment accounts, invest a higher proportion into bonds and large cap stocks as their risk tolerance diminishes, consistently with the empirical findings. |
| Authors |
De Giorgi, Enrico |
| Projects |
De Giorgi, Enrico & Audrino, Francesco
(2010)
Applying Recent Developments in Computational Statistics to Behavioral Asset Pricing and Portfolio Selection
[applied research project]
|
| Journal or Publication Title |
Investment Management and Financial Innovations |
| Language |
English |
| Keywords |
portfolio selection, asset allocation puzzle, prospect theory, mental accounting |
| Subjects |
economics |
| HSG Classification |
contribution to scientific community |
| HSG Profile Area |
SEPS - Quantitative Economic Methods |
| Refereed |
Yes |
| Date |
1 December 2011 |
| Publisher |
BusinessPerspective |
| Place of Publication |
Sumy |
| Volume |
8 |
| Number |
4 |
| Page Range |
36-44 |
| Number of Pages |
9 |
| ISSN |
1810-4967 |
| ISSN-Digital |
1812-9358 |
| Depositing User |
Prof. Ph.D Enrico Giovanni De Giorgi
|
| Date Deposited |
29 Feb 2012 20:32 |
| Last Modified |
23 Aug 2016 11:12 |
| URI: |
https://www.alexandria.unisg.ch/publications/210002 |
A Behavioral Explanation of the Asset Allocation Puzzle
