The traditional mean–variance approach has been complemented by alternative theories that use risk measures different from standard deviation of returns or involve additional distributional features of returns like skewness and kurtosis. We propose a portfolio choice model that combines different distributional characteristics of the returns in the decision-making making process, considering preferences of investors which are modeled as non-statistical uncertainties of investors using fuzzy theory. We use 20 stocks of the S&P500 from January 2013 to December 2017. We assess the obtained portfolios’ performance, and the diversified behavioral portfolios outperform than the mean–variance portfolio. This methodological proposal can be seen as a strong managerial tool to make investment portfolio decisions.

传统的均值-方差方法得到了替代理论的补充，这些替代理论使用不同于回报标准差的风险度量或涉及回报的其他分布特征，如偏度和峰度。我们提出了一个投资组合选择模型，该模型结合了决策过程中收益的不同分布特征，考虑了使用模糊理论建模为投资者的非统计不确定性的投资者偏好。我们使用了 2013 年 1 月至 2017 年 12 月 S&P500 的 20 只股票。我们评估了获得的投资组合的表现，多元化的行为投资组合的表现优于均值-方差投资组合。这种方法论建议可以被视为做出投资组合决策的强大管理工具。