As finanças comportamentais nas métricas de investimento: proposição de um índice de avaliação de risco-retorno

Abstract

This research proposed the development of an asset valuation model through an index that incorporates assumptions from Prospect Theory into the Kappa family of ratios. Broadly speaking, the understanding and need to balance risk have led to the development of various arbitrage models, which are now also being studied in the field of behavioral finance. Using applied research with a quantitative approach and exploratory, explanatory, and descriptive objectives, the study employs an ex post facto procedure for historical analysis and utilizes simulation and experimentation to enable a statistical assessment of its applicability. For this purpose, data from the last 18 years (2007 to 2024) of the USA30 (as a proxy for the Dow Jones index) were used as a reference. Additionally, the proposed index archetype was validated against the axioms presented in Kroll et al. (2021), successfully meeting three of the four axioms. The proposed ratio, referred to in the study as the Behavioral ratio, was compared to the Sharpe and Sortino ratios in terms of their responses to real T+1 results – both in historical data and simulated scenarios. The Behavioral Index showed a slight advantage over these traditional metrics, particularly when calculations were based on a 24-month data horizon. This study is relevant for expanding research on investment analysis models and metrics grounded in the principles, heuristics, and biases typical of behavioral finance. The main contributions of this thesis include extending theoretical propositions related to arbitrage models, particularly those tied to Prospect Theory, as no prior literature had applied it to risk-return assessment indices, thereby complementing its theoretical framework. Furthermore, the model serves as an additional tool for portfolio classification by financial market professionals, aiding their decision-making processes. Given the study's limitations, future research is expected to build upon this work and contribute to its refinement.