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 a mental accounting structure of portfolios, a definition of risk as...

We employ a liability directed investment (LDI) rebalancing framework based on expected shortfall (ES), which we refer to as LDI-ES, to prescribe remedies for an underfunded portfolio. Investors in the LDI-ES framework face a risky asset, such as a stock index, and a risk-free bond. They begin...

Today's portfolios are often composed of mental accounts, one for each of an investor's goals. They often also contain derivative securities. We develop a methodology for optimizing mental accounting portfolios that contain derivatives and other securities with non-normal distributions of...