2006Journal of Qingdao UniversityRequires access

Limits of "Expected Return-Variance" Principle under Framing of Behavioral Finance

Yang De-ping

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Abstract

The limits of principle of Expected Return-Variance were studied by using generalized prospect model.This model includes investor's psychology overconfidence and biased self-attribution.Results show that the investors based on overconfidence and biased self-attribution and the maximum prospect value rules of choice would refuse to accept the principle of Expected Return-Variance.

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The limits of principle of Expected Return-Variance were studied by using generalized prospect model.This model includes investor's psychology overconfidence and biased self-attribution.Results show that the investors based on overconfidence and biased self-attribution and the maximum prospect value rules of choice would refuse to accept the principle of Expected Return-Variance.

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Available abstract

The limits of principle of Expected Return-Variance were studied by using generalized prospect model.This model includes investor's psychology overconfidence and biased self-attribution.Results show that the investors based on overconfidence and biased self-attribution and the maximum prospect value rules of choice would refuse to accept the principle of Expected Return-Variance.

Key concepts: Overconfidence effect, Prospect theory, Attribution, Variance (accounting), Economics, Behavioral economics, Framing (construction), Econometrics

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