Behavioral Portfolio Theory

By H. Shefrin, M. Statman. Journal of Financial and Quantitative Analysis, 2000

1,032 citations recorded by the source corpus.

Subfields: Accounting, Finance, General Decision Sciences

View Paper: https://www.semanticscholar.org/paper/9546784411ef40ac6f5a9a557b046948c7821246

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Citations in the corpus

Portfolio Choice Problems (2010, methodology): “These non-expected utility preferences have been applied to portfolio choice problems by Benartzi and Thaler (1995), Shefrin and Statman (2000), Aı̈t-Sahalia and Brandt (2001), Liu (2002b), Ang, Bekaert, and Liu (2003), and Gomes (2003), among others.”
Gambling Preference and the New Year Effect of Assets with Lottery Features (2012, background): “…that, relative to firms, customers more likely place open buy orders on call than on put options, particularly in January.2 This is consistent with the notion that unsophisticated investors usually bet on calls rather than on puts for upside potentials (Shefrin and Statman 2000; Statman 2002).”
Who Gambles in the Stock Market (2009, background): “1 Electronic copy available at: https://ssrn.com/abstract=1263479 Previous studies have emphasized the potential role of gambling in investment decisions (e.g., Friedman and Savage (1948), Markowitz (1952), Shiller (1989, 2000), Shefrin and Statman (2000), Statman (2002), Barberis and Huang (2008)).”
Lottery Players/Stock Traders (2002, methodology): “Markowitz built on the lottery insurance–lottery framework, as did Kahneman and Tversky in developing prospect theory and Shefrin and Statman (2000) in developing behavioral portfolio theory.”
Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis (2005, neutral): “Although behavioral versions of utility theory (Kahneman and Tversky, 1979), portfolio theory (Shefrin and Statman, 2000), the Capital Asset Pricing Model (Merton, 1987; Shefrin and Statman, 1994), and the Life Cycle Hypothesis (Shefrin and Thaler, 1988) have been advanced, these models have yet to…”
BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME (2007, background): “ research interests in incorporating the PT into portfolio choice; nonetheless they have been hitherto overwhelmingly limited to the single-period setting; see for example Benartzi and Thaler (1995), Shefrin and Statman (2000), Levy and Levy (2004), Bassett et al. (2004), Gomes (2005), and De Giorgi”
Investor sentiment and the MAX effect (2014, background): “Shefrin and Statman (2000) incorporate local risk seeking in their behavioral portfolio theory (BPT) in which investors hold multiple portfolios combining a desire for safety with the desire to get rich.”
Household Portfolio Underdiversification and Probability Weighting: Evidence from the Field (2018, neutral): “As noted above, theoretical models predict that probability weighting makes underdiversified portfolios more attractive due to their positive skewness (Shefrin and Statman, 2000; Polkovnichenko, 2005; Barberis and Huang, 2008).”
Behavioral Finance: Quo Vadis? (2015, neutral): “Shefrin and Statman (2000) develop behavioral portfolio theory in single and multiple mental account versions (SMA and MMA).”
Speculative Retail Trading and Asset Prices (2013, positive): “However, it is consistent with some investors’ desire to gamble or preference for skewness (e.g., Shefrin and Statman (2000), Barberis and Huang (2008)), to seek sensation or entertainment in trading (e.g., Grinblatt and Keloharju (2009), Dorn and Sengmueller (2009)).”
The Cross-Section of Stock Returns in Frontier Emerging Markets (2012, neutral): “Thirdly, Shefrin and Statman (2000) suggest that private investors may hold part of their wealth, above a certain threshold level, as a gamble to quickly become rich.”
Behavioral Finance: Finance with Normal People (2014, background): “Markowitz (1952a, 1959) described meanvariance portfolio theory and Shefrin and Statman (1987, 2000) described behavioral portfolio theory.”