Behavioral Portfolio Model Based on the Perceived Risk Value
Naiding Yang · Systems Engineering · 2006
Considering hominine bounded rational factors,it's described investors' perceived risks with a value function.With the Copula coupling function,co-distribution and Jacob matrix,it's formed the co-probability distribution and(coupling) structure of portfolio decision-makings with multiple mental accounts.With the behavioral portfolio theory of(Shefrin) and Statman,a behavioral model based on perceived risk values has been proposed. Results of arithmetic case show that it's superior to traditional theories.