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• W2103485368 abstract "The Behavioral Portfolio Theory (BPT) developed by Shefrin and Statman (2000) is often set against Markowitz's (1952) Mean Variance Theory (MVT). In this paper, we compare the asset allocations generated by BPT and MVT without restrictions. Using U.S. stock prices from the CRSP database for the 1995-2011 period, this paper is the first study that empirically determines the BPT optimal portfolio. We show that the Shefrin and Statman's (2000) optimal portfolio is Mean Variance (MV) efficient in more than 70% of cases. However, our results also indicate that the BPT portfolio exhibits a high level of risk, high returns and positively skewed returns. We show that the risk aversion coefficient of the BPT portfolio is up to 10 times lower than the risk aversion degree shown by typical MV investors. Even if the asset allocations may coincide, typical MV investors will not usually select the BPT optimal portfolios. These results underline that MVT and BPT cannot be used interchangeably." @default.
• W2103485368 created "2016-06-24" @default.
• W2103485368 creator A5026478381 @default.
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• W2103485368 date "2013-01-01" @default.
• W2103485368 modified "2023-10-16" @default.
• W2103485368 title "When Behavioral Portfolio Theory Meets Markowitz Theory" @default.
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• W2103485368 doi "https://doi.org/10.2139/ssrn.2336148" @default.
• W2103485368 hasPublicationYear "2013" @default.
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