TY - JOUR
T1 - Experimental tests of the mean-variance model for portfolio selection
AU - Kroll, Yoram
AU - Levy, Haim
AU - Rapoport, Amnon
PY - 1988/12
Y1 - 1988/12
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=38249028911&partnerID=8YFLogxK
U2 - 10.1016/0749-5978(88)90007-6
DO - 10.1016/0749-5978(88)90007-6
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AN - SCOPUS:38249028911
SN - 0749-5978
VL - 42
SP - 388
EP - 410
JO - Organizational Behavior and Human Decision Processes
JF - Organizational Behavior and Human Decision Processes
IS - 3
ER -