Experimental tests of the mean-variance model for portfolio selection |
| |
| Authors: | Yoram Kroll Haim Levy Amnon Rapoport |
| |
| Institution: | 1. Lancaster University Management School, LA1 4YX, UK;2. Athens University of Economics and Business, Greece;1. Universidad Tecnológica Nacional, Facultad Regional Resistencia, Resistencia 3500, Argentina;2. Department of Languages and Computer Sciences, University of Malaga, Malaga 29071, Spain;1. Birmingham Business School, Birmingham B15 2TY, UK;2. Cyprus University of Technology, Department of Commerce, Finance and Shipping, 3603 Lemesos, Cyprus;3. Aston Business School, Aston University, Birmingham B4 7ET, UK |
| |
| Abstract: | Statistically knowledgeable male and female undergraduate students participated in 40 portfolio selection problems with monetary payoff contingent on performance. The portfolio selection task included two independent risky assets with normally distributed returns. It provided access to information about previous returns, allowed borrowing and lending at a fixed interest rate, and forced on each decision period a choice between the two risky assets. The findings show a high percentage of inefficient mean-variance portfolios which does not decrease with practice, a high rate of requests for useless information, a large frequency of switches between the two risky assets, and sequential dependencies. Theoretical and practical implications of the findings are briefly discussed. |
| |
| Keywords: | |
| 本文献已被 ScienceDirect 等数据库收录！ |
|
