Das, Sanjiv; Markowitz, Harry; Scheid, Jonathan; … - In: Journal of Financial and Quantitative Analysis 45 (2010) 02, pp. 311-334
We integrate appealing features of Markowitz’s mean-variance portfolio theory (MVT) and Shefrin and Statman’s behavioral portfolio theory (BPT) into a new mental accounting (MA) framework. Features of the MA framework include an MA structure of portfolios, a definition of risk as the...