文章基本信息

标题：Markowitz Mean-Variance Portfolio Selection and Optimization under a Behavioral Spectacle: New Empirical Evidence
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作者：Jules Clément Mba ; Kofi Agyarko Ababio ; Samuel Kwaku Agyei 等
期刊名称：International Journal of Financial Studies
印刷版ISSN：2227-7072
出版年度：2022
卷号：10
期号：2
页码：28
DOI：10.3390/ijfs10020028
语种：English
出版社：MDPI, Open Access Journal
摘要：This paper investigates the robustness of the conventional mean-variance (MV) optimization model by making two adjustments within the MV formulation. First, the portfolio selection based on a behavioral decision-making theory that encapsulates the MV statistics and investors psychology. The second aspect involves capturing the portfolio asset dependence structure through copula. Using the behavioral MV (BMV) and the copula behavioral MV (CBMV), the results show that stocks with lower behavioral scores outperform counterpart portfolios with higher behavioral scores. On the other hand, in the Forex market, the reverse is observed for the BMV approach, while the CBMV remains consistent.