On the performance of efficient portfolios

Böhm V (2004) Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld.
Bielefeld: Universität Bielefeld.

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Working Paper | Published | English
Abstract
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.
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Böhm V. On the performance of efficient portfolios. Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld. Bielefeld: Universität Bielefeld; 2004.
Böhm, V. (2004). On the performance of efficient portfolios (Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld). Bielefeld: Universität Bielefeld.
Böhm, V. (2004). On the performance of efficient portfolios. Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld, Bielefeld: Universität Bielefeld.
Böhm, V., 2004. On the performance of efficient portfolios, Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld, Bielefeld: Universität Bielefeld.
V. Böhm, On the performance of efficient portfolios, Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld, Bielefeld: Universität Bielefeld, 2004.
Böhm, V.: On the performance of efficient portfolios. Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld. Universität Bielefeld, Bielefeld (2004).
Böhm, Volker. On the performance of efficient portfolios. Bielefeld: Universität Bielefeld, 2004. Discussion paper / Fakultät für Wirtschaftswissenschaften, Universität Bielefeld.
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