Portfolio optimization with mental accounts

Journal of Financial and Quantitative Analysis

Volumn 45, Issue 2, 2010, Pages 311-334

  Das, Sanjiv ^a   Markowitz, Harry ^b   Scheid, Jonathan ^c   Statman, Meir ^a,d  

^a SANTA CLARA UNIVERSITY   (United States)

^b UNIVERSITY OF CALIFORNIA   (United States)

^c Bellatore   (United States)

^d TILBURG UNIVERSITY   (Netherlands)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 77953574623     PISSN: 00221090     EISSN: 17566916     Source Type: Journal    
DOI: 10.1017/S0022109010000141     Document Type: Article

References (19)

1. Alexander G. J., and A. M. Baptista. "Active Portfolio Management with Benchmarking: Adding a Value-at-Risk Constraint." Journal of Economic Dynamics and Control, 32 (2008), 779-820.
2. Alexander, G. J.; A. M. Baptista; and S. Yan. "Mean-Variance Portfolio Selection with 'At-Risk' Constraints and Discrete Distributions." Journal of Banking and Finance, 31 (2007), 3761-3781.
3. Baptista, A. M. "Optimal Delegated Portfolio Management with Background Risk." Journal of Banking and Finance, 32 (2008), 977-985.
4. Barsky, R. B.; F. T. Juster; M. S. Kimball; and M. D. Shapiro. "Preference Parameters and Behavioral Heterogeneity: An Experimental Approach in the Health and Retirement Study." Quarterly Journal of Economics, 112 (1997), 537-579.
5. Basak, S., and A. Shapiro. "Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices." Review of Financial Studies, 14 (2001), 371-405. (Pubitemid 33587850)
6. Brunel, J. L. P. "How Sub-Optimal-If at All-Is Goal-Based Asset Allocation?" Journal of Wealth Management, 9 (2006), 19-34.
7. De Giorgi, E.; T. Hens; and J. Mayer. "A Behavioral Foundation of Reward-Risk Portfolio Selection and the Asset Allocation Puzzle." Working Paper, University of Lugano (2005).
8. DeMiguel, V.; L. Garlappi; and R. Uppal. "Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?" Review of Financial Studies, 22 (2009), 1915-1953.
9. Huang, C.-F., and R. Litzenberger. Foundations for Financial Economics. New York, NY: North-Holland (1988).
10. Jaeger, S.; M. Rudolf; and H. Zimmermann. "Efficient Shortfall Frontier." Zeitschrift for betriebswirtschaftliche Forschung, 4 (1995), 355-365.
11. Levy, H., and H. Markowitz. "Approximating Expected Utility by a Function of Mean and Variance." American Economic Review, 69 (1979), 308-317.
12. Markowitz, H. "Portfolio Selection." Journal of Finance, 7 (1952), 77-91.
13. Markowitz, H. "Investment for the Long Run: New Evidence for an Old Rule." Journal of Finance, 31 (1976), 1273-1286.
14. Markowitz, H. "Nonnegative or Not Nonnegative: A Question about CAPMs." Journal of Finance, 38 (1983), 283-295.
15. Markowitz, H. "Foundations of Portfolio Theory." Journal of Finance, 46 (1991), 469-477.
16. Mehra, R., and E. Prescott. "The Equity Premium: A Puzzle." Journal of Monetary Economics, 15 (1985), 145-161.
17. Sharpe, W.; G. Alexander; and J. Bailey. Investments, 6th ed. Upper Saddle River, NJ: Prentice Hall (1999).
18. Shefrin, H., and M. Statman. "Behavioral Portfolio Theory." Journal of Financial and Quantitative Analysis, 35 (2000), 127-151.
19. Telser, L. "Safety First and Hedging." Review of Economic Studies, 23 (1956), 1-16.