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Mental accounts with horizon and asymmetry preferences
حسابهای ذهنی با ترجیحات افق و نامتقارن-2021 This paper extends mental accounting theory with an investment horizon and asymmetric trade-off between
extreme gains and losses. This horizon-asymmetry mental accounting (HAMA) framework widens the spectrum
of investors’ optimal portfolio choices considerably. Risk aversion, implied from the mean-variance portfolio
theory, and the bond-to-stock ratio decline with the investment horizon. HAMA investors with a large gain–loss
asymmetry trade-off are more concerned about skewness and kurtosis rather than variance. To apply the model
to United States stock data, we develop a parsimonious semi-parametric version of HAMA that relies on the
moments of return distributions. The analysis of optimal portfolios shows that investors who care significantly
about upside potential hold asymmetric, leptokurtic, and less diversified allocations.
keywords: حساب های ذهنی | انتخاب نمونه کارها | افق | پتانسیل صعودی | خطر گریزی | Mental accounts | Portfolio choice | Horizon | Upside potential | Risk aversion |
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