The aim of this article is to compare the portfolio optimization generated by the behavioral portfolio theory (BPT) and the mean variance theory (MVT) by investigating the impact of the global financial crisis on the asset allocation. We use data from the Canadian Stock Exchange over the 2002–2015 period. By comparing both approaches, we show that for any level of aspiration and admissible failure, the BPT optimal portfolio will always contain a part of the mean–variance frontier. Thus, in the case of higher degree of risk aversion induced by typical BPT investors, the security set is located on the upper right of the Markowitz frontier. However, even if the optimal portfolios of MVT and BPT may coincide, MVT investors associated with an extremely low degree of risk aversion will not systematically choose BPT optimal portfolios. Our results also indicate the period of financial crisis generate huge losses in MVT portfolio values that implies a lower expected return and a higher level of risk. Furthermore, we point out the absence of the BPT optimal portfolio when potential losses are higher during the 2008 global financial crisis. JEL: G11, G17, G40

中文翻译：

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金融危机对资产配置的影响：经典理论与行为理论

本文的目的是通过调查全球金融危机对资产配置的影响，比较行为投资组合理论（BPT）和均值方差理论（MVT）生成的投资组合优化。我们使用2002年至2015年期间加拿大证券交易所的数据。通过比较这两种方法，我们表明，对于任何水平的期望和可接受的失败，BPT最优投资组合将始终包含均值-方差边界的一部分。因此，在典型的BPT投资者引起较高程度的风险规避的情况下，该证券集位于Markowitz边界的右上方。但是，即使MVT和BPT的最佳投资组合可能重合，但风险厌恶程度极低的MVT投资者也不会系统地选择BPT最佳投资组合。我们的结果还表明，金融危机时期在MVT投资组合价值上造成了巨大损失，这意味着较低的预期收益和较高的风险水平。此外，我们指出，在2008年全球金融危机期间潜在损失较高的情况下，没有BPT最佳投资组合。JEL：G11，G17，G40