Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/39780 
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dc.contributor.authorSinger, Nicoen
dc.date.accessioned2009-10-20-
dc.date.accessioned2010-09-08T07:48:10Z-
dc.date.available2010-09-08T07:48:10Z-
dc.date.issued2009-
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
dc.language.isoengen
dc.publisher|aUniversität Rostock, Institut für Volkswirtschaftslehre |cRostocken
dc.relation.ispartofseries|aThünen-Series of Applied Economic Theory - Working Paper |x104en
dc.subject.jelG11en
dc.subject.ddc330en
dc.subject.keywordbehavioral portfolio choiceen
dc.subject.keyworddecision making under risken
dc.subject.keywordretirement portfoliosen
dc.subject.stwPrivate Rentenversicherungen
dc.subject.stwAnlageverhaltenen
dc.subject.stwPortfolio-Managementen
dc.subject.stwEntscheidung bei Risikoen
dc.subject.stwSchätzungen
dc.subject.stwDen
dc.titleA behavioral portfolio analysis of retirement portfolios-
dc.type|aWorking Paperen
dc.identifier.ppn610727745en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

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