Optimal portfolio allocation under behavioral framework.

• Other Authors: Kam, Kwok Hung.
• Format: Others
• Language: English; Chinese
• Published: 2008
• Subjects: Portfolio management > Mathematical models; Investments > Psychological aspects
• Online Access: http://library.cuhk.edu.hk/record=b5896840; http://repository.lib.cuhk.edu.hk/en/item/cuhk-326560

Kam, Kwok Hung. === Thesis (M.Phil.)--Chinese University of Hong Kong, 2008. === Includes bibliographical references (leaves 100-103). === Abstracts in English and Chinese. === Abstract Page --- p.11 === Abstract (Chinese) --- p.12 === Acknowledgment Page --- p.13 === Table of Contents --- p.1 === Table of Figures --- p.1 === Chapter 1 --- Introduction --- p.1 === Chapter 1.1 --- Background --- p.1 === Chapter 1.2 --- Utility and Value Function --- p.5 === Chapter 1.2.1 --- Expected utility theory --- p.5 === Chapter 1.2.2 --- Prospect Theory --- p.9 === Chapter 1.3 --- Mental Accounting --- p.14 === Chapter 1.3.1 --- Segregation vs Aggregation --- p.17 === Chapter 2 --- Moving reference point with loss aversion --- p.21 === Chapter 2.1 --- Model Setup --- p.21 === Chapter 2.2 --- Simulation Results --- p.27 === Chapter 3 --- Constant Rebalancing Portfolio with Additive Utility --- p.30 === Chapter 3.1 --- Model setting --- p.31 === Chapter 3.1.1 --- Additive Utility Theory (AUT) --- p.33 === Chapter 3.2 --- Analysis --- p.34 === Chapter 3.3 --- Results --- p.35 === Chapter 3.4 --- Summary --- p.38 === Chapter 4 --- Revision of Gomes´ة Work --- p.40 === Chapter 4.1 --- Background --- p.40 === Chapter 4.2 --- Portfolio Allocation with zero surplus wealth --- p.44 === Chapter 4.3 --- Portfolio Allocation with Negative Surplus --- p.46 === Chapter 4.4 --- Portfolio Allocation with Positive Surplus --- p.50 === Chapter 4.5 --- Numerical Results --- p.51 === Chapter 4.5.1 --- Gomes´ة Work --- p.56 === Chapter 4.6 --- Summary --- p.57 === Chapter 5 --- Mental Accounting under Value Function in the Prospect Theory --- p.59 === Chapter 5.1 --- Cognitive dissonance --- p.59 === Chapter 5.2 --- Market Setting --- p.60 === Chapter 5.3 --- Single Mental Account --- p.61 === Chapter 5.4 --- Two Mental Accounts --- p.63 === Chapter 5.5 --- Numerical results --- p.67 === Chapter 5.5.1 --- Pessimistic View --- p.71 === Chapter 5.6 --- Summary --- p.72 === Chapter 6 --- Mental Accounting under Friedman-Savage Value Function --- p.74 === Chapter 6.1 --- Two Assets with Single mental account --- p.76 === Chapter 6.1.1 --- Different Sharpe ratios --- p.78 === Chapter 6.1.2 --- Same Sharpe ratio --- p.82 === Chapter 6.2 --- Two Assets with two mental accounts --- p.85 === Chapter 6.2.1 --- Segregation or Aggregation --- p.86 === Chapter 6.2.2 --- Numerical results --- p.90 === Chapter 6.3 --- Summary --- p.93 === Chapter 7 --- Conclusion --- p.96 === Bibliography --- p.100