Optimization of Investment Portfolios Taking into Account the Behavioral Perception of Monetary Policy

Оптимизация инвестиционных портфелей с учетом поведенческого восприятия денежно-кредитной политики

Redkin, Nikita (Редкин, Никита) ()
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Redkin, Nikita (Редкин, Никита): Institute of Finance and Economics, University of Tyumen

Ekonomicheskaya Politika / Economic Policy, 2020, vol. 3, 44-73

Abstract: The paper presents an adaptation of modern behavioral economic theory to portfolio investment in the Russian stock market. The author analyzes the possibility of optimizing the investment portfolio for a private investor using portfolio correction based on changes in monetary policy indicators available in media sources. The behavioral model of portfolio selection is used, based on the value of shares on Moscow Exchange and taking into account a reference point in the theory of prospects in the form of indicators regulated by the Bank of Russia. The key rate and the standard of required reserves, inflation, the average rate on bank deposits, and the exchange rate of the US dollar to the ruble are used as monetary policy in­dicators. The behavioral model is a modified theory of average variance, in which the calculation of profitability and risk is carried out according to the main behavioral theories, namely the cumulative prospect and mental accounting theory. The author considers various options for forming a portfolio in accordance with the level of risk aversion. As a result of comparing the models of optimization of the average variance portfolio and the models based on the modified theory of average variance using behavioral factors, higher risk-return ratios of the modified models were revealed in the forecast period, while for the analyzed period all models were located on the line of Markowitz efficient portfolio. As a further development of the portfolio behavioral theory, the possibilities of adapting the model are proposed not only depending on the points of reference, but also de­pending on changes in risk acceptance coefficients and probability estimates.

Keywords: cumulative prospect theory; behavioral finance; modern portfolio theory. (search for similar items in EconPapers)
JEL-codes: E52 G02 G11 (search for similar items in EconPapers)
Date: 2020
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