In this study, we develop a behavioral portfolio selection model that incorporates robust estimators for model inputs in order to reduce the need to change the portfolio over consecutive periods. It also includes Conditional Value at Risk as a sub-additive risk measure, which is preferable in behavioral portfolio selection. Finally, we model a varying risk attitude in a causal network in which investor behavioral biases and latest realized return are related to using a causation algorithm. We also provide a case study in Tehran Stock Exchange, where the results disclose that albeit our model is not mean-variance efficient, it selects portfolios that are robust, well diversified, and have less utility loss compared to a well-known behavioral portfolio model.
Accepté le :
DOI : 10.1051/ro/2017056
Mots-clés : Behavioral portfolio selection, , robust estimator, conditional value at risk, behavioral biases, causal relationship
@article{RO_2019__53_2_577_0,
author = {Momen, Omid and Esfahanipour, Akbar and Seifi, Abbas},
title = {Portfolio selection with robust estimators considering behavioral biases in a causal network},
journal = {RAIRO - Operations Research - Recherche Op\'erationnelle},
pages = {577--591},
publisher = {EDP-Sciences},
volume = {53},
number = {2},
year = {2019},
doi = {10.1051/ro/2017056},
zbl = {1426.91254},
language = {en},
url = {http://www.numdam.org/articles/10.1051/ro/2017056/}
}
TY - JOUR AU - Momen, Omid AU - Esfahanipour, Akbar AU - Seifi, Abbas TI - Portfolio selection with robust estimators considering behavioral biases in a causal network JO - RAIRO - Operations Research - Recherche Opérationnelle PY - 2019 SP - 577 EP - 591 VL - 53 IS - 2 PB - EDP-Sciences UR - http://www.numdam.org/articles/10.1051/ro/2017056/ DO - 10.1051/ro/2017056 LA - en ID - RO_2019__53_2_577_0 ER -
%0 Journal Article %A Momen, Omid %A Esfahanipour, Akbar %A Seifi, Abbas %T Portfolio selection with robust estimators considering behavioral biases in a causal network %J RAIRO - Operations Research - Recherche Opérationnelle %D 2019 %P 577-591 %V 53 %N 2 %I EDP-Sciences %U http://www.numdam.org/articles/10.1051/ro/2017056/ %R 10.1051/ro/2017056 %G en %F RO_2019__53_2_577_0
Momen, Omid; Esfahanipour, Akbar; Seifi, Abbas. Portfolio selection with robust estimators considering behavioral biases in a causal network. RAIRO - Operations Research - Recherche Opérationnelle, Tome 53 (2019) no. 2, pp. 577-591. doi : 10.1051/ro/2017056. http://www.numdam.org/articles/10.1051/ro/2017056/
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