Behavioral Aspects in Portfolio Selection

Diana Barro (), Marco Corazza () and Martina Nardon ()
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Diana Barro: Ca’ Foscari University of Venice

A chapter in Mathematical and Statistical Methods for Actuarial Sciences and Finance, 2021, pp 87-93 from Springer

Abstract: Abstract We introduce elements of Cumulative Prospect Theory into the portfolio selection problem and then compare stock portfolios selected under the behavioral approach with those selected according to classical approaches, such as Mean Variance and Mean Absolute Deviation ones. The mathematical programming problem associated to the behavioral portfolio selection is highly non-linear and non-differentiable; for these reasons it is solved using a Particle Swarm Optimization approach. An application to the STOXX Europe 600 equity market is performed.

Keywords: Behavioral finance; Cumulative prospect theory; Portfolio selection; Particle Swarm Optimization (search for similar items in EconPapers)
Date: 2021
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-030-78965-7_14

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DOI: 10.1007/978-3-030-78965-7_14

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