Portfolio choice and mental accounts: A comparison with traditional approaches (notice n° 486648)
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| 000 -LEADER | |
|---|---|
| fixed length control field | 03330cam a2200301 4500500 |
| 005 - DATE AND TIME OF LATEST TRANSACTION | |
| control field | 20250121072443.0 |
| 041 ## - LANGUAGE CODE | |
| Language code of text/sound track or separate title | fre |
| 042 ## - AUTHENTICATION CODE | |
| Authentication code | dc |
| 100 10 - MAIN ENTRY--PERSONAL NAME | |
| Personal name | Hübner, Georges |
| Relator term | author |
| 245 00 - TITLE STATEMENT | |
| Title | Portfolio choice and mental accounts: A comparison with traditional approaches |
| 260 ## - PUBLICATION, DISTRIBUTION, ETC. | |
| Date of publication, distribution, etc. | 2022.<br/> |
| 500 ## - GENERAL NOTE | |
| General note | 50 |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | Cet article analyse dans quelle mesure un modèle réaliste de comptabilité mentale pour les choix de portefeuille est capable de concurrencer des alternatives d’utilité traditionnelles. Il s’agit du modèle de comptabilité mentale étendu aux dimensions d’horizon d’investissement et d’asymétrie présenté dans Hübner et Lejeune (2021). Das, Markowitz, Scheid, et Statman (2010) et Hübner et Lejeune (2021) ont démontré que le référentiel de comptabilité mentale incorpore des allocations optimales dérivées d’optimisation de l’utilité quadratique et/ou de l’hypothèse de la distribution Gaussienne. Nous complémentons leur travail en démontrant ici la flexibilité et la supériorité numérique des outputs d’optimisation qu’une version non-Gaussienne du modèle HAMA (Horizon-Asymmetry Mental Accounting) génère par rapport à deux règles traditionnelles de maximisation de l’utilité espérée produisant un spectre large et pertinent de règles d’allocation de portefeuille pour divers types d’investisseurs : l’approche du taux de décroissance de Stutzer (2003), qui est similaire à la maximisation de l’utilité espérée, et la classe des fonctions d’utilité flexibles à trois paramètres (FTP) introduite par Conniffe (2007) qui englobe un large ensemble de fonctions d’utilité. |
| 520 ## - SUMMARY, ETC. | |
| Summary, etc. | This paper analyses the ability of a realistic mental accounting model for portfolio choice to compete with traditional utility alternatives. The model is the horizon-asymmetry mental accounting (HAMA) setup presented in Hübner and Lejeune (2021). Das, Markowitz, Scheid, and Statman (2010) and Hübner and Lejeune (2021) have shown that the mental accounting framework embeds optimal allocations derived from quadratic utility optimization and/or the Gaussian distribution assumption. We complement their work by demonstrating here the flexibility and numerical superiority of the optimization outputs that a non-Gaussian version of HAMA generates with respect to two traditional expected utility maximization rules that produce a wide and relevant spectrum of portfolio allocation rules for a variety of realistic investor types: the decay rate approach proposed by Stutzer (2003), which is analogous to maximizing expected utility, and the class of flexible three-parameter utility functions (FTP) introduced by Conniffe (2007) that encompasses a wide set of popular utility functions.JEL Classification: G02, G11, D14. |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | risk aversion |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | portfolio choice |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | upside potential |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | horizon |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | mental accounts |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | risk aversion |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | portfolio choice |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | upside potential |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | horizon |
| 690 ## - LOCAL SUBJECT ADDED ENTRY--TOPICAL TERM (OCLC, RLIN) | |
| Topical term or geographic name as entry element | mental accounts |
| 700 10 - ADDED ENTRY--PERSONAL NAME | |
| Personal name | Lejeune, Thomas |
| Relator term | author |
| 786 0# - DATA SOURCE ENTRY | |
| Note | Finance | 43 | 1 | 2022-03-01 | p. 95-121 | 0752-6180 |
| 856 41 - ELECTRONIC LOCATION AND ACCESS | |
| Uniform Resource Identifier | <a href="https://shs.cairn.info/journal-finance-2022-1-page-95?lang=en&redirect-ssocas=7080">https://shs.cairn.info/journal-finance-2022-1-page-95?lang=en&redirect-ssocas=7080</a> |
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