search query: @author Shefrin, H. / total: 3
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| Author: | Shefrin, H. Statman, M. |
| Title: | Behavioral portfolio theory |
| Journal: | Journal of Financial and Quantitative Analysis
2000 : JUN, VOL. 35:2, p. 127-152 |
| Index terms: | BEHAVIOURAL SCIENCE SECURITY POVERTY |
| Language: | eng |
| Abstract: | The authors develop a positive behavioral portfolio theory (BPT) and explore its implications for portfolio construction and security design. The optimal portfolios of BPT investors resemble combinations of bonds and lottery tickets, consistent with Friedman and Savage's (1948) observation. The authors compare the BPT efficient frontier with the mean-variance efficient frontier and show that, in general, the two frontiers do not coincide. Optimal BPT portfolios are also different from optimal CAPM portfolios. |
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