On the performance of efficient portfolios

Böhm V, Wenzelburger J (2005)
JOURNAL OF ECONOMIC DYNAMICS & CONTROL 29(4): 721-740.

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This paper investigates the performance of efficient portfolios in a financial market with heterogeneous investors including rational traders, noise traders, and chartists. A generalization of the security market line result states that, regardless of the diversity of beliefs, the portfolios of rational investors with mean-variance preferences are mean-variance efficient in the sense of classical CAPM. We show that, depending on the noise traders' behavior, the performance of efficient portfolios when measured by empirical Sharpe ratios can be dominated. Empirical Sharpe ratios may thus be inappropriate indicators for efficient portfolios. (c) 2004 Elsevier B.V. All rights reserved.
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Böhm V, Wenzelburger J. On the performance of efficient portfolios. JOURNAL OF ECONOMIC DYNAMICS & CONTROL. 2005;29(4):721-740.
Böhm, V., & Wenzelburger, J. (2005). On the performance of efficient portfolios. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 29(4), 721-740. doi:10.1016/j.jedc.2004.01.006
Böhm, V., and Wenzelburger, J. (2005). On the performance of efficient portfolios. JOURNAL OF ECONOMIC DYNAMICS & CONTROL 29, 721-740.
Böhm, V., & Wenzelburger, J., 2005. On the performance of efficient portfolios. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 29(4), p 721-740.
V. Böhm and J. Wenzelburger, “On the performance of efficient portfolios”, JOURNAL OF ECONOMIC DYNAMICS & CONTROL, vol. 29, 2005, pp. 721-740.
Böhm, V., Wenzelburger, J.: On the performance of efficient portfolios. JOURNAL OF ECONOMIC DYNAMICS & CONTROL. 29, 721-740 (2005).
Böhm, Volker, and Wenzelburger, Jan. “On the performance of efficient portfolios”. JOURNAL OF ECONOMIC DYNAMICS & CONTROL 29.4 (2005): 721-740.
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