Another look at portfolio optimization with mental accounts

作者：

Highlights：

• We derive a closed-form solution for portfolio optimization with mental accounts.

• We link portfolio optimization to the maximum Sharpe ratio and minimum VaR rule.

• We identify the bound of threshold return as being equivalent to the GMV portfolio.

摘要

•We derive a closed-form solution for portfolio optimization with mental accounts.•We link portfolio optimization to the maximum Sharpe ratio and minimum VaR rule.•We identify the bound of threshold return as being equivalent to the GMV portfolio.

论文关键词：Safety-first,Mean-variance portfolio,Mean-VaR model,Sharpe ratio,Value-at-risk,Behavioral portfolio

论文评审过程：Received 21 September 2020, Revised 10 October 2021, Accepted 1 December 2021, Available online 23 December 2021, Version of Record 23 December 2021.

论文官网地址：https://doi.org/10.1016/j.amc.2021.126851