اميرحسين قضاتلو

The current research presents a behavioral portfolio optimization model for portfolio management companies that manage the assets of a wide range of people with different personality types and risk appetite. This model trying to form a unique portfolio for every investor by taking into account the risk appetite of people in two stages, which includes their general risk appetite according to their psychological and personality characteristics in the first stage and taking into account the mental classifications of investors in the next stage. The mental classifications of people are caused by their different goals in life or the different origin of the acquired assets, which causes the different monetary value of the invested and allocated assets in each of these mental accounts. On the other hand, the presented model is a group model that can be used for a group of people and forms the optimal portfolio for all of them, simultaneously. This feature distinguishes the introduced model from other portfolio optimization models. We measured the correctness of the model in two parts, by presenting a five-share example and assuming that the rate of return follows uniform and normal distributions, and we checked its behavior by sensitivity analysis to the parameters of return, variance, return threshold and maximum probability of not reaching the threshold. Also, at the end, we eva‎luated the validity of the mentioned model by comparing it with the Markowitz model and the collective mental accounting model. The results show that the performance of the model is correct and provides reliable answers. Also, the results of sensitivity analysis indicate the logical behavior of the model. Finally, the results of comparing the research’s model with Markowitz model and collective mental accounting model show the validity of the proposed model.

بهينه سازي سبد سهام , حسابداري ذهني , مالي رفتاري , نظريه چشم انداز , نظريه سبد سهام رفتاري

Portfolio optimization , Mental accounting , Behavioral finance , Prospect theory , Behavioral portfolio theory

Amirhossein ghozatloo

Seyed jafar sajjadi