Markowitz Mean-Variance Portfolio Selection and Optimization under a Behavioral Spectacle: New Empirical Evidence

This paper investigates the robustness of conventional mean-variance (MV) optimization model by making two adjustments within MV formulation. First, portfolio selection based on a behavioral decision-making theory that encapsulates statistics and investors psychology. The second aspect involves capturing asset dependence structure through copula. Using (BMV) copula (CBMV), results show stocks with lower scores outperform counterpart portfolios higher scores. On other hand, in Forex market, reverse is observed for BMV approach, while CBMV remains consistent.