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dc.contributor.authorSinger, Nicoen_US
dc.date.accessioned2009-10-20en_US
dc.date.accessioned2010-09-08T07:48:10Z-
dc.date.available2010-09-08T07:48:10Z-
dc.date.issued2009en_US
dc.identifier.urihttp://hdl.handle.net/10419/39780-
dc.description.abstractWith regard to retirement savings individual investors tend to hold large positions of their wealth in riskless assets, although equity products offer higher returns. In this article we study a behavioral portfolio model which captures this phenomenon by considering two behavioral aspects: fear and hope. In detail, we extend Shefrin's and Statman's stochastic behavioral portfolio model [SS00] and provide an equivalent deterministic model, which can be solved numerically. This allows us to apply this behavioral portfolio model even to a large amount of return data of retirement assets. When we assume fear, we find an optimal retirement portfolio with large positions in riskless assets. In this case, the proportion invested in equity is very small up to zero, while it is large when we assume hope. In short, a fear-driven behavior results in a smaller expected portfolio return and a shifting of wealth from risky to riskless assets; a hope-driven behavior results in a larger expected portfolio return and a shifting of wealth from riskless to risky assets.en_US
dc.language.isoengen_US
dc.publisherUniv., Wirtschafts- und Sozialwiss. Fak. Rostocken_US
dc.relation.ispartofseriesThünen-series of applied economic theory 104en_US
dc.subject.jelG11en_US
dc.subject.ddc330en_US
dc.subject.keywordbehavioral portfolio choiceen_US
dc.subject.keyworddecision making under risken_US
dc.subject.keywordretirement portfoliosen_US
dc.subject.stwPrivate Rentenversicherungen_US
dc.subject.stwAnlageverhaltenen_US
dc.subject.stwPortfolio-Managementen_US
dc.subject.stwEntscheidung bei Risikoen_US
dc.subject.stwSchätzungen_US
dc.subject.stwDen_US
dc.titleA behavioral portfolio analysis of retirement portfoliosen_US
dc.typeWorking Paperen_US
dc.identifier.ppn610727745en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
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