文章基本信息

标题：Development of a Behavioral Performance Measure
本地全文：下载
作者：Marcelo Cabus Klotzle ; Leonardo Lima Gomes ; Luiz Eduardo Teixeira Brandão 等
期刊名称：Brazilian Review of Finance
印刷版ISSN：1984-5146
出版年度：2012
卷号：10
期号：3
页码：395-416
语种：English
出版社：Link to the Brazilian Society of Finance
摘要：Since the fifties, several measures have been developed in order to measure the performance of investments or choices involving uncertain outcomes. Much of these measures are based on Expected Utility Theory, but since the nineties a number of measures have been proposed based on Non-Expected Utility Theory. Among the Theories of Non-Expected Utility highlights Prospect Theory, which is the foundation of Behavioral Finance. Based on this theory this study proposes a new performance measure in which are embedded loss aversion along with the likelihood of distortions in the choice of alternatives. A hypothetical example is presented in which various performance measures, including the new measure are compared. The results showed that the ordering of the assets varied depending on the performance measure adopted. According to what was expected, the new performance measure clearly has captured the distortion of probabilities and loss aversion of the decision maker, ie, those assets with the greatest negative deviations from the target were those who had the worst performance.
其他摘要：Since the fifties, several measures have been developed in order to measure the performance of investments or choices involving uncertain outcomes. Much of these measures are based on Expected Utility Theory, but since the nineties a number of measures have been proposed based on Non-Expected Utility Theory. Among the Theories of Non-Expected Utility highlights Prospect Theory, which is the foundation of Behavioral Finance. Based on this theory this study proposes a new performance measure in which are embedded loss aversion along with the likelihood of distortions in the choice of alternatives. A hypothetical example is presented in which various performance measures, including the new measure are compared. The results showed that the ordering of the assets varied depending on the performance measure adopted. According to what was expected, the new performance measure clearly has captured the distortion of probabilities and loss aversion of the decision maker, ie, those assets with the greatest negative deviations from the target were those who had the worst performance.
关键词：Behavioral Finance;Prospect Theory;Performance Measure;finanças comportamentais;teoria do prospecto;medida de desempenho
其他关键词：Finance; Capital Markets;Behavioral Finance; Prospect Theory; Performance Measure;G02, G11