portfolio selection with mental accounts and background risk

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1、JournalofBanking&Finance36(2012)968–980ContentslistsavailableatSciVerseScienceDirectJournalofBanking&Financejournalhomepage:www.elsevier.com/locate/jbfPortfolioselectionwithmentalaccountsandbackgroundriskAlexandreM.Baptista⇑DepartmentofFinance,TheGeorgeWashingtonUniversity,Washington,DC20052

2、,USAarticleinfoabstractArticlehistory:Dasetal.(2010)developamodelwhereaninvestordivideshisorherwealthamongmentalaccountsReceived21January2011withmotivessuchasretirementandbequest.Nevertheless,theinvestorendsupselectingportfoliosAccepted13October2011withinmentalaccountsandanaggregateportfolio

3、thatlieonthemean–variancefrontier.Importantly,Availableonline19October2011theyassumethattheinvestoronlyfacesportfoliorisk.Inpractice,however,manyindividualsalsofacebackgroundrisk.Accordingly,ourpaperexpandsupontheirsbyconsideringthecasewheretheinvestorJELclassification:facesbackgroundrisk.Our

4、contributionisthreefold.First,weprovideananalyticalcharacterizationoftheG11existenceandcompositionoftheoptimalportfolioswithinaccountsandtheaggregateportfolio.Second,D81weshowthattheseportfolioslieawayfromthemean–variancefrontierunderfairlygeneralconditions.Keywords:Third,wefindthatthecomposi

5、tionandlocationofsuchportfolioscandiffernotablyfromthoseofport-Portfolioselectionfoliosonthemean–variancefrontier.MentalaccountsÓ2011ElsevierB.V.Allrightsreserved.BackgroundriskBehavioralfinance1.Introductiongroundrisk,itsrecognitionisofparticularinterest.Indeed,Dasetal.suggestanextensionofth

6、eirresultstothecasewhereback-Dasetal.(2010)developanappealingmodelthatincorporatesgroundriskispresent.Inthispaper,weprovidesuchanextension.featuresofbothbehavioralandmean–variancemodels.ConsistentIndoingso,wedevelopaportfolioselectionmodelwithac-withShefrinandStatman(2000),Dasetal.consideran

7、investorcountsandbackgroundrisk.LikeDasetal.,weconsideraninvestorwhodivideshisorherwealthamongmentalaccounts(hereafter,whodivideshisorherwealthamongaccounts.UnlikeDasetal.,1‘accounts’)withmotivessuchasretirementandbequest.Withinhowever,weassumethat