A behavioral approach to efficient portfolio formation

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dc.citation.epage212en_US
dc.citation.issueNumber4en_US
dc.citation.spage202en_US
dc.citation.volumeNumber6en_US
dc.contributor.authorMuradoglu, Y. G.en_US
dc.contributor.authorAltay-Salih, A.en_US
dc.contributor.authorMercan, M.en_US
dc.date.accessioned2019-01-31T12:06:09Z
dc.date.available2019-01-31T12:06:09Z
dc.date.issued2005en_US
dc.departmentDepartment of Managementen_US
dc.description.abstractThis paper investigates the portfolio performance of subjective forecasts given in different forms. In constructing the efficient frontier, we base the expectation formation processes on subjective forecasts and human behavior, rather than on past prices. We construct the efficient portfolios first, using point, interval, and probabilistic forecasts. Next, we compare their performance to portfolios constructed using the standard time series data approach. Subjective forecasts are provided by actual portfolio managers who forecast stock prices on a real-time basis. Our first contribution is to show that the portfolio performance of subjective forecasts is superior to those of standard time series modeling. Our second contribution lies in the fact that we use experts as forecasters, professional fund managers with substantive expertise. Our third contribution is that we investigate the expert subjects' forecasts using point, interval, and probabilistic forecasts, which renders our findings robust to the task format.en_US
dc.description.provenanceSubmitted by Merve Nalbant (merve.nalbant@bilkent.edu.tr) on 2019-01-31T12:06:09Z No. of bitstreams: 1 A_Behavioral_Approach_To_Efficient_Portfolio_Formation.pdf: 830114 bytes, checksum: 2fbb9679edb7375d608dbe08dc6af919 (MD5)en
dc.description.provenanceMade available in DSpace on 2019-01-31T12:06:09Z (GMT). No. of bitstreams: 1 A_Behavioral_Approach_To_Efficient_Portfolio_Formation.pdf: 830114 bytes, checksum: 2fbb9679edb7375d608dbe08dc6af919 (MD5) Previous issue date: 2005en
dc.identifier.doi10.1207/s15427579jpfm0604_4en_US
dc.identifier.eissn1542-7579
dc.identifier.issn1542-7560
dc.identifier.urihttp://hdl.handle.net/11693/48607
dc.language.isoEnglishen_US
dc.publisherRoutledgeen_US
dc.relation.isversionofhttps://doi.org/10.1207/s15427579jpfm0604_4en_US
dc.source.titleThe Journal of Behavioral Financeen_US
dc.titleA behavioral approach to efficient portfolio formationen_US
dc.typeArticleen_US

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