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Combining standard and behavioral portfolio theories: a practical and intuitive approach

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  • Alexandre Alles Rodrigues
  • Sébastien Lleo

Abstract

A fully implementable portfolio model combining mental accounting and Black-Litterman to accommodate views on expected returns with multiple attitudes to risk

Suggested Citation

  • Alexandre Alles Rodrigues & Sébastien Lleo, 2018. "Combining standard and behavioral portfolio theories: a practical and intuitive approach," Quantitative Finance, Taylor & Francis Journals, vol. 18(5), pages 707-717, May.
    • Handle: RePEc:taf:quantf:v:18:y:2018:i:5:p:707-717
    DOI: 10.1080/14697688.2017.1401225
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    Cited by:

    1. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2020. "Portfolio selection with mental accounts: An equilibrium model with endogenous risk aversion," Journal of Banking & Finance, Elsevier, vol. 110(C).
    2. Hübner, Georges & Lejeune, Thomas, 2021. "Mental accounts with horizon and asymmetry preferences," Economic Modelling, Elsevier, vol. 103(C).
    3. Zhang, Yongjie & Chu, Gang & Shen, Dehua, 2021. "The role of investor attention in predicting stock prices: The long short-term memory networks perspective," Finance Research Letters, Elsevier, vol. 38(C).

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