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1、JournalofBanking&Finance36(2012)968–980ContentslistsavailableatSciVerseScienceDirectJournalofBanking&Financejournalhomepage:www.elsevier.com/locate/jbfPortfolioselectionwithmentalaccountsandbackgroundriskAlexandreM.Baptista?DepartmentofFinance,TheGeorgeWashingtonUniversity,Washington,DC20052
2、,USAarticleinfoabstractArticlehistory:Dasetal.(2010)developamodelwhereaninvestordivideshisorherwealthamongmentalaccountsReceived21January2011withmotivessuchasretirementandbequest.Nevertheless,theinvestorendsupselectingportfoliosAccepted13October2011withinmentalaccountsandanaggregateportfolio
3、thatlieonthemean–variancefrontier.Importantly,Availableonline19October2011theyassumethattheinvestoronlyfacesportfoliorisk.Inpractice,however,manyindividualsalsofacebackgroundrisk.Accordingly,ourpaperexpandsupontheirsbyconsideringthecasewheretheinvestorJELclassi?cation:facesbackgroundrisk.Our
4、contributionisthreefold.First,weprovideananalyticalcharacterizationoftheG11existenceandcompositionoftheoptimalportfolioswithinaccountsandtheaggregateportfolio.Second,D81weshowthattheseportfolioslieawayfromthemean–variancefrontierunderfairlygeneralconditions.Keywords:Third,we?ndthatthecomposi
5、tionandlocationofsuchportfolioscandiffernotablyfromthoseofport-Portfolioselectionfoliosonthemean–variancefrontier.Mentalaccountsó2011ElsevierB.V.Allrightsreserved.BackgroundriskBehavioral?nance1.Introductiongroundrisk,itsrecognitionisofparticularinterest.Indeed,Dasetal.suggestanextensionofth
6、eirresultstothecasewhereback-Dasetal.(2010)developanappealingmodelthatincorporatesgroundriskispresent.Inthispaper,weprovidesuchanextension.featuresofbothbehavioralandmean–variancemodels.ConsistentIndoingso,wedevelopaportfolioselectionmodelwithac-withShefrinandStatman(2000),Dasetal.consideran
7、investorcountsandbackgroundrisk.LikeDasetal.,weconsideraninvestorwhodivideshisorherwealthamongmentalaccounts(hereafter,whodivideshisorherwealthamongaccounts.UnlikeDasetal.,1‘a(chǎn)ccounts’)withmotivessuchasretirementandbequest.Withinhowever,weassumethat
