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Portfolio Optimization with Mental Accounts

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  • Das, Sanjiv
  • Markowitz, Harry
  • Scheid, Jonathan
  • Statman, Meir

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Bibliographic Info

Article provided by Cambridge University Press in its journal Journal of Financial and Quantitative Analysis.

Volume (Year): 45 (2010)
Issue (Month): 02 (April)
Pages: 311-334

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Handle: RePEc:cup:jfinqa:v:45:y:2010:i:02:p:311-334_00

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Cited by:
  1. Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2011. "Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy," EconomiX Working Papers 2011-20, University of Paris West - Nanterre la Défense, EconomiX.
  2. Jiang, Chonghui & Ma, Yongkai & An, Yunbi, 2013. "International portfolio selection with exchange rate risk: A behavioural portfolio theory perspective," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 648-659.
  3. Cai, Jun & Ge, Chenliang, 2012. "Multi-objective private wealth allocation without subportfolios," Economic Modelling, Elsevier, vol. 29(3), pages 900-907.
  4. Jason Scott & John Watson, 2013. "The Floor-Leverage Rule for Retirement," Discussion Papers 13-013, Stanford Institute for Economic Policy Research.
  5. Alexander, Gordon J. & Baptista, Alexandre M., 2011. "Portfolio selection with mental accounts and delegation," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2637-2656, October.
  6. Zhang, Zhichao & Chau, Frankie & Xie, Li, 2012. "Strategic Asset Allocation for Central Bank’s Management of Foreign Reserves: A new approach," MPRA Paper 43654, University Library of Munich, Germany.
  7. Singer, Nico, 2010. "Safety-first portfolio optimization: Fixed versus random target," Thuenen-Series of Applied Economic Theory 113, University of Rostock, Institute of Economics.
  8. Alexander, Gordon J. & Baptista, Alexandre M. & Yan, Shu, 2014. "Bank regulation and international financial stability: A case against the 2006 Basel framework for controlling tail risk in trading books," Journal of International Money and Finance, Elsevier, vol. 43(C), pages 107-130.
  9. Baptista, Alexandre M., 2012. "Portfolio selection with mental accounts and background risk," Journal of Banking & Finance, Elsevier, vol. 36(4), pages 968-980.
  10. Das, Sanjiv R. & Statman, Meir, 2013. "Options and structured products in behavioral portfolios," Journal of Economic Dynamics and Control, Elsevier, vol. 37(1), pages 137-153.
  11. Chiarawongse, Anant & Kiatsupaibul, Seksan & Tirapat, Sunti & Roy, Benjamin Van, 2012. "Portfolio selection with qualitative input," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 489-496.
  12. Johansen, Kathrin & Singer, Nico, 2012. "Chasing rainbows: On the relationship between lottery tickets and common stocks," Thuenen-Series of Applied Economic Theory 129, University of Rostock, Institute of Economics.
  13. David Ardia & Kris Boudt, 2013. "Implied Expected Returns and the Choice of a Mean-Variance Efficient Portfolio Proxy," Cahiers de recherche 1328, CIRPEE.
  14. Marie Briere & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2012. "Is the Market Portfolio Efficient? A New Test of Mean-Variance Efficiency when All Assets Are Risky," Working Papers CEB 12-003, ULB -- Universite Libre de Bruxelles.
  15. Singer, Nico, 2011. "A behavioral portfolio analysis of retirement portfolios," Thuenen-Series of Applied Economic Theory 104, University of Rostock, Institute of Economics.
  16. Xu, Guo & Wing-Keung, Wong & Lixing, Zhu, 2013. "Comparisons and Characterizations of the Mean-Variance, Mean-VaR, Mean-CVaR Models for Portfolio Selection With Background Risk," MPRA Paper 51827, University Library of Munich, Germany.
  17. Johansen, Kathrin & Singer, Nico, 2012. "Chasing rainbows: On the relationship between lottery tickets and common stocks," Thuenen-Series of Applied Economic Theory 129, University of Rostock, Institute of Economics.

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