Publicação
Beyond Mean-Variance:A Behavioral Multicriteria Framework for Portfolio Allocation
| datacite.subject.fos | Ciências Naturais::Matemáticas | |
| dc.contributor.author | Santos, Paulo Araújo | |
| dc.contributor.author | Leoneti, Alexandre Bevilacqua | |
| dc.contributor.author | São João, Ricardo | |
| dc.contributor.editor | ||
| dc.date.accessioned | 2026-10-10T13:14:35Z | |
| dc.date.available | 2026-10-10T13:14:35Z | |
| dc.date.issued | 2026-09-24 | |
| dc.description.abstract | This paper evaluates a portfolio-allocation framework grounded in the Multicriteria Prospect Theory Approach (MPT-A) and compares its out-of-sample performance with that of a constrained return-maximization benchmark, the Markowitz model. Rather than replacing variance as a risk proxy, the proposed framework reorganizes portfolio allocation through a behavioral multicriteria decision rule that incorporates investor-specific preferences over return and risk. Portfolios are constructed for conservative, moderate, and aggressive investor profiles and evaluated using realized out-of-sample returns, risk, diversification patterns, and Sharpe ratios. The benchmark portfolio is computed under realistic lower and upper bounds on asset allocations in order to reflect implementable investment constraints. The results indicate that the MPT-A framework produces portfolios with a coherent progression in risk across investor profiles while maintaining comparatively diversified allocations. | eng |
| dc.identifier.citation | Araújo Santos, Paulo José and Leoneti, Alexandre Bevilacqua and São João, Ricardo Miguel Vieira, Beyond Mean-Variance A Behavioral Multicriteria Framework for Portfolio Allocation. Available at SSRN: https://ssrn.com/abstract=7519384 or http://dx.doi.org/10.2139/ssrn.7519384 | |
| dc.identifier.doi | 10.2139/ssrn.7519384 | |
| dc.identifier.uri | http://hdl.handle.net/10400.15/6187 | |
| dc.language.iso | eng | |
| dc.peerreviewed | no | |
| dc.publisher | SSRN | |
| dc.relation.hasversion | https://papers.ssrn.com/sol3/papers.cfm?abstract_id=7519384 | |
| dc.rights.uri | N/A | |
| dc.subject | Prospect Theory | |
| dc.subject | MPT-A | |
| dc.subject | Multicriteria portfolio allocation | |
| dc.subject | Mean-variance model (Markowitz) | |
| dc.subject | Behavioral preferences | |
| dc.subject | Investment constraints | |
| dc.title | Beyond Mean-Variance:A Behavioral Multicriteria Framework for Portfolio Allocation | eng |
| dc.type | preprint | |
| dspace.entity.type | Publication | |
| oaire.version | http://purl.org/coar/version/c_be7fb7dd8ff6fe43 |