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  • 标题:Behavioral approach to portfolio selection: The case of Tehran Stock Exchange as emerging market
  • 本地全文:下载
  • 作者:Farshad Heybati ; Freydoon Rahnamay Roodposhti ; Seyed Reza Moosavi
  • 期刊名称:African Journal of Business Management
  • 印刷版ISSN:1993-8233
  • 出版年度:2011
  • 卷号:5
  • 期号:17
  • 页码:7593-7602
  • DOI:10.5897/AJBM11.761
  • 语种:English
  • 出版社:Academic Journals
  • 摘要:Behavioral finance is the study of the influence of psychology on the behavior of financial practitioners and the subsequent effect on markets. In this paper, concepts of behavioral finance are surveyed and then the portfolio selection model in framework of behavioral finance theories is presented and compared with the Mean-Variance rational pattern. Historical data of TEDPIX for 10 years has been used and separated to 2 parts of test and evaluation groups. The optimum weight for risky asset proposed by standard mean-variance and behavioral model based on returns for the first 7 years (test data) in the 3 months periods. After that, returns of 84 optimum portfolios in a three year evaluation period are calculated. Mean test (CL=95%) shows that in Tehran Stock Exchange, the research hypothesis return of behavioral model is greater than return of standard mean-variance model, was rejected.
  • 关键词:Behavioral finance; investment portfolio; mental accounting; asymmetric risk preference; loss aversion
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