Volume 53, Number 2, April-June 2019
|Page(s)||577 - 591|
|Published online||05 June 2019|
Portfolio selection with robust estimators considering behavioral biases in a causal network
Department of Industrial Engineering and Management Systems, Amirkabir University of Technology, 424 Hafez Ave, Tehran, Iran 15875-4413
* Corresponding author: email@example.com
Accepted: 3 July 2017
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.
Mathematics Subject Classification: G11 / G02 / C02 / C44 / C61 / C51
Key words: Behavioral portfolio selection, / robust estimator / conditional value at risk / behavioral biases / causal relationship
© EDP Sciences, ROADEF, SMAI 2019
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.