Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/283690 
Year of Publication: 
2022
Citation: 
[Journal:] SPOUDAI - Journal of Economics and Business [ISSN:] 2241-424X [Volume:] 72 [Issue:] 3/4 [Year:] 2022 [Pages:] 3-55
Publisher: 
University of Piraeus, Piraeus
Abstract: 
We investigate whether alternative asset classes should be included in optimal portfolios of the most prominent investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss Averse types of investors. We develop a stochastic spanning approach for each type of investor. Using the Stochastic Spanning criterion, we construct optimal portfolios with and without alternative assets, namely FX, Commodities, Real Estate and precious metals. Our out of sample comparative performance analysis indicates that investors impression of gains and losses affects significantly the composition and aggregate performance of optimal portfolios and that the alternative asset classes examined are attractive attracted under risk conditions.
Subjects: 
Parametric and Non-parametric tests
Second Order Stochastic Dominance
Stochastic
Spanning
Cumulative Prospect Theory
Loss Aversion
Markowitz Theory
Probability Weighting
JEL: 
C12
C13
C15
C44
D81
G11
G14
Document Type: 
Article

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