Результаты исследований: Публикации в книгах, отчётах, сборниках, трудах конференций › статья в сборнике материалов конференции › Рецензирование
ASSESSMENT OF INVESTMENT PORTFOLIOS BASED ON THE IDEAS OF PROSPECT THEORY. / Окулов, Виталий Леонидович; Власовец, Анна Сергеевна.
ANNUAL GSOM EMERGING MARKETS CONFERENCE 2020 Conference book. St. Petersburg, 11–18 november 2020. Издательство Санкт-Петербургского университета, 2020. стр. 401-404.Результаты исследований: Публикации в книгах, отчётах, сборниках, трудах конференций › статья в сборнике материалов конференции › Рецензирование
}
TY - GEN
T1 - ASSESSMENT OF INVESTMENT PORTFOLIOS BASED ON THE IDEAS OF PROSPECT THEORY
AU - Окулов, Виталий Леонидович
AU - Власовец, Анна Сергеевна
N1 - Conference code: 7
PY - 2020
Y1 - 2020
N2 - This paper focuses on practical application of the ideas of prospect theory in order to propose a new methodology for mutual funds ranking. Method used in the research is regression analysis of purchases and sales of investment units of large Russian mutual funds. Analyzing these indicators authors designed econometric model and assessed the loss aversion coefficient inherent to Russian investors. Henceforth, this allowed to concretize Kahneman-Tversky utility function and apply it to portfolio assessment. Verification of the model displayed that behavior of investors is comparable to the postulates of prospect theory. Based on the findings, new ranking principle was suggested, which is fundamentally distinct from the traditional ones (Sharpe-ratio, Morningstar Risk-Adjusted Return Approach). Thus, the research results may be valuable for fund governance as new ratings expand investment strategies that are admissible to unqualified investors.
AB - This paper focuses on practical application of the ideas of prospect theory in order to propose a new methodology for mutual funds ranking. Method used in the research is regression analysis of purchases and sales of investment units of large Russian mutual funds. Analyzing these indicators authors designed econometric model and assessed the loss aversion coefficient inherent to Russian investors. Henceforth, this allowed to concretize Kahneman-Tversky utility function and apply it to portfolio assessment. Verification of the model displayed that behavior of investors is comparable to the postulates of prospect theory. Based on the findings, new ranking principle was suggested, which is fundamentally distinct from the traditional ones (Sharpe-ratio, Morningstar Risk-Adjusted Return Approach). Thus, the research results may be valuable for fund governance as new ratings expand investment strategies that are admissible to unqualified investors.
KW - РИНЦ
M3 - Conference contribution
SP - 401
EP - 404
BT - ANNUAL GSOM EMERGING MARKETS CONFERENCE 2020 Conference book. St. Petersburg, 11–18 november 2020
PB - Издательство Санкт-Петербургского университета
T2 - GSOM Emerging Markets Conference -2020
Y2 - 11 November 2020 through 18 November 2020
ER -
ID: 92487290