Portfolio construction choice : comparative based behavioral finance and efficient market

الملخص EN

The investor aims, when constructing their efficient portfolio, to choose securities, which provide the maximum expected return in exchange for supporting the lowest possible risk, taking into account the diversification of these securities.

Because of the abnormalities observed in the financial market, the behavioral trend emerged since the eighties of the last century.

It is based on proving the irrationality of individuals.

Research on this trend included many fields, among which financial portfolio construction.

Therefore, this study aims to find out how to choose the best portfolio among the classical trend and the behavioral trend, and to what extent the behavioral finance is able to develop these models and increase efficiency.

To search all aspects of the study, we have addressed the theory of efficient financial markets and the Capital Asset Pricing Model (CAPM) and how to constitute optimal portfolios.

We have compared this theory to that of behavioral finance by identifying the most significant anomalies observed in the financial markets that led to the emergence of the modern behavioral trend, and the methodology used in selecting securities for the construction of the behavioral portfolio