Portfolio Optimization with Mental Accounts

@article{Das2010PortfolioOW,
  title={Portfolio Optimization with Mental Accounts},
  author={S. Das and H. Markowitz and J. Scheid and M. Statman},
  journal={Journal of Financial and Quantitative Analysis},
  year={2010},
  volume={45},
  pages={311-334}
}
We integrate appealing features of Markowitz’s mean-variance portfolio theory (MVT) and Shefrin and Statman’s behavioral portfolio theory (BPT) into a new mental accounting (MA) framework. Features of the MA framework include an MA structure of portfolios, a definition of risk as the probability of failing to reach the threshold level in each mental account, and attitudes toward risk that vary by account. We demonstrate a mathematical equivalence between MVT, MA, and risk management using value… Expand
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