期刊
REVIEW OF FINANCIAL STUDIES
卷 17, 期 4, 页码 1015-1041出版社
OXFORD UNIV PRESS INC
DOI: 10.1093/rfs/hhg062
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The experimental results of prospect theory (PT) reveal suggest that investors make decisions based on change of wealth rather than total wealth, that preferences are S-shaped with a risk-seeking segment, and that probabilities are subjectively distorted. This article shows that while PT's findings are in sharp contradiction to the foundations of mean-variance (MV) analysis, counterintuitively, when diversification between assets is allowed, the MV and PT-efficient sets almost coincide. Thus one can employ the MV optimization algorithm to construct PT-efficient portfolios.
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