Portfolio Optimization Considering Behavioral Stocks with Return Scenario Generation

Portfolio Optimization Considering Behavioral Stocks with Return Scenario Generation

This study extends the application of behavioral portfolio optimization by estimating the return of behavioral stocks (B-stocks). With the cause-and-effect relationships of the respective irrational behaviors on the stock price movements and the unique information provided by B-stocks in terms of kn...

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Bibliographic Details
Main Authors: Michael N. Young, TJ Troy N. Chuahay, Yen-Hsien Lee, John Francis T. Diaz, Yogi Tri Prasetyo, Satria Fadil Persada, Reny Nadilfatin
Format: Article
Language:English
Published: MDPI AG 2022-11-01
Series:Mathematics
Subjects:
behavioral stocks
regression analysis
irrational behaviors
portfolio selection
portfolio management
Online Access:https://www.mdpi.com/2227-7390/10/22/4269

Internet

https://www.mdpi.com/2227-7390/10/22/4269

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