First czech book about behavioral finance focusing on behavioral biases of individual investors. Behavioral portfolio theory is an alternative to meanvariance portfolio theory, a theory that is founded on expected utility theory shefrin and statman, 2000. It provides the tools necessary for the construction of meanvariance portfolios to investors who care only about the expected returns of their portfolios and their risks. The optimal portfolios of bpt investors resemble combinations of bonds and lottery tickets, consistent with friedman and savages 1948. Pdf materialization of behavioral finance and behavioral portfolio. Journal of financial and quantitative analysis, 127151. Behavioral portfolio theory describes investors behavior, how they divide their. Behavioral portfolio theory hersh shefrin and meir statman abstract we develop a positive behavioral portfolio theory bpt and explore its implications for portfolio construction and security design. Markowitz, 1952a, markowitz, 1959 described meanvariance portfolio theory and shefrin and statman 1987, 2000 described behavioral portfolio theory. The optimal portfolios of bpt investors resemble combinations of bonds and lotterly tickets. The behavioral portfolio theory bpt developed by shefrin and statman is often confronted to the markowitzs mean variance.
The journal of financial and quantitative analysis, vol. We establish that, in more than 70% of cases, the shefrin and statman s portfolio is mv e cient. Shefrin and statman 2000 introduced bpt and this is a goalbased theory. When behavioral portfolio theory meets markowitz theory. This drives us to the behavioral portfolio theory shefrin and statman, 2000. We develop a positive behavioral portfolio theory bpt and explore its implications for portfolio.
Interview interview with professor meir statman about behavioral. Shefrin, statman 1985 the disposition to sell winners too early and ride losers too long. Bpt is developed on the foundations of cpt, but it does not incorporate all the features of this model. The two other portfolio theories, markowitzs 1952b customary wealth theory and roys 1952 safetyfirst theory, are consistent with the puzzle. Behavioral portfolio theory bpt, put forth in 2000 by shefrin and statman, provides an.
Markowitzs 1952a meanvariance portfolio theory is one of three portfolio theories introduced in 1952 and the only one inconsistent with the friedman savage puzzle. When behavioral portfolio theory meets markowitz theory eurofidai. Behavioral portfolios pension research council university of. For example, shefrin and statman proposed a behavioral capital asset pricing model bapm, which is an extension of the modern capital asset pricing model capm 1. We develop a positive behavioral portfolio theory bpt and explore its implications for. The optimal portfolios of bpt investors resemble combinations of bonds and lotterly tickets consistent with friedman and savages 1948 observation. Meanvariance portfolio theory is a construction theory. Another article by markowitz 1952b is part of the foundation of behavioral portfolio theory.
The subsequent behavioral portfolio theory bpt, developed in 2000, was put forward based on markowitzs modern portfolio theory 2. Behavioral portfolio theory journal of financial and. The journal of financial and quantitative analysis. Hersh shefrin, meir statman we develop a positive behavioral portfolio theory bpt and explore its implications for portfolio constrution and security design. We develop a positive behavioral portfolio theory bpt and explore its implications for portfolio constrution and security design. In their behavioral portfolio theory, shefrin and statman 2000 develop a single and a.
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