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• W2093479969 abstract "Abstract We study a mean-risk model derived from a behavioral theory of Disappointment with multiple reference points. One distinguishing feature of the risk measure is that it is based on mutual deviations of outcomes, not deviations from a specific target. We prove necessary and sufficient conditions for strict first and second order stochastic dominance, and show that the model is, in addition, a Convex Risk Measure. The model allows for richer, and behaviorally more plausible, risk preference patterns than competing models with equal degrees of freedom, including Expected Utility (EU), Mean–Variance (M-V), Mean-Gini (M-G), and models based on non-additive probability weighting, such as Dual Theory (DT). In asset allocation, the model allows a decision-maker to abstain from diversifying in a positive expected value risky asset if its performance does not meet a certain threshold, and gradually invest beyond this threshold, which appears more acceptable than the extreme solutions provided by either EU and M-V (always diversify) or DT and M-G (always plunge). In asset trading, the model provides no-trade intervals, like DT and M-G, in some, but not all, situations. An illustrative application to portfolio selection is presented. The model can provide an improved criterion for mean-risk analysis by injecting a new level of behavioral realism and flexibility, while maintaining key normative properties." @default.
• W2093479969 created "2016-06-24" @default.
• W2093479969 creator A5000163132 @default.
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• W2093479969 date "2014-12-01" @default.
• W2093479969 modified "2023-10-16" @default.
• W2093479969 title "Mean-risk analysis with enhanced behavioral content" @default.
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• W2093479969 doi "https://doi.org/10.1016/j.ejor.2014.06.001" @default.
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