Desenvolvimento de uma Medida de Desempenho Comportamental

Since the fifties, several measures have been developed in order tomeasure the performance of investments or choices involving uncertainoutcomes. Much of these measures are based on Expected Utility Theory, butsince the nineties a number of measures have been proposed based onNon-Expected Utility Theory. Among the Theories of Non-Expected Utilityhighlights Prospect Theory, which is the foundation of Behavioral Finance.Based on this theory this study proposes a new performance measure in whichare embedded loss aversion along with the likelihood of distortions in thechoice of alternatives. A hypothetical example is presented in which variousperformance measures, including the new measure are compared. The resultsshowed that the ordering of the assets varied depending on the performancemeasure adopted. According to what was expected, the new performance measureclearly has captured the distortion of probabilities and loss aversion ofthe decision maker, ie, those assets with the greatest negative deviationsfrom the target were those who had the worst performance.