An integrated mathematical model for behavioural portfolio selection with multiple mental accounts
What is it about?
We propose a behavioural portfolio selection model called collective mental accounting (CMA), which integrates all mental sub-portfolios (mental accounts) in one mathematical model.
Why is it important?
This study contributes to the literature of behavioural portfolio selection in three ways: 1) Our model can determine the proportions of wealth allocated to each mental sub-portfolio with and without input from the investor. 2) Unlike other mental accounting models (MA), in CMA it is possible to deﬁne constraints on total asset holdings such as short-selling, and cardinality constraints. 3) In order to make our model more tractable and mathematically elegant, we obtain a semi-deﬁnite programming representation of the model.
The following have contributed to this page: Dr Akbar Esfahanipour and Abbas Seifi