Research on behavioral portfolio theory based on low partial moments risk
Fei Peng · Guanli kexue xuebao · 2008
Based on lower partial moments risk measure,we establish a lower partial moments behavior portfolio theory (LBPT).We discuss the meanings of model parameter B and how to choose,and get the linear pro- gramming form of single mental account LBPT (LBPT-SA).Example analysis shows that the LBPT-SA effi- cient frontier resemble that of MV bolt with high aspiration and with low aspiration,as is different with BPT. There are also some differences between LBPT and BPT in risk measure index,hypothesis precondition and factors which affect investors' decision making.LBPT also shows such psychology pattern in decision making that investors want to avoid poverty as well as want a shot at riches.More importantly,LBPT can be translated into linear programming form and applied into real world portfolio.