On the performance of efficient portfolios

Böhm V, Wenzelburger J (2005)
In: Journal of Economic Dynamics and Control. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 29(4). ELSEVIER SCIENCE BV: 721-740.

Konferenzbeitrag | Veröffentlicht | Englisch
 
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Autor*in
Böhm, VolkerUniBi; Wenzelburger, Jan
Abstract / Bemerkung
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.
Stichworte
efficient portfolios; CAPM; asset markets; heterogeneity
Erscheinungsjahr
2005
Titel des Konferenzbandes
Journal of Economic Dynamics and Control
Band
29
Ausgabe
4
Seite(n)
721-740
ISSN
0165-1889
Page URI
https://pub.uni-bielefeld.de/record/1604451

Zitieren

Böhm V, Wenzelburger J. On the performance of efficient portfolios. In: Journal of Economic Dynamics and Control. JOURNAL OF ECONOMIC DYNAMICS & CONTROL. Vol 29. ELSEVIER SCIENCE BV; 2005: 721-740.
Böhm, V., & Wenzelburger, J. (2005). On the performance of efficient portfolios. Journal of Economic Dynamics and Control, JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 29, 721-740. ELSEVIER SCIENCE BV. doi:10.1016/j.jedc.2004.01.006
Böhm, V., and Wenzelburger, J. (2005). “On the performance of efficient portfolios” in Journal of Economic Dynamics and Control JOURNAL OF ECONOMIC DYNAMICS & CONTROL, vol. 29, (ELSEVIER SCIENCE BV), 721-740.
Böhm, V., & Wenzelburger, J., 2005. On the performance of efficient portfolios. In Journal of Economic Dynamics and Control. JOURNAL OF ECONOMIC DYNAMICS & CONTROL. no.29 ELSEVIER SCIENCE BV, pp. 721-740.
V. Böhm and J. Wenzelburger, “On the performance of efficient portfolios”, Journal of Economic Dynamics and Control, JOURNAL OF ECONOMIC DYNAMICS & CONTROL, vol. 29, ELSEVIER SCIENCE BV, 2005, pp.721-740.
Böhm, V., Wenzelburger, J.: On the performance of efficient portfolios. Journal of Economic Dynamics and Control. JOURNAL OF ECONOMIC DYNAMICS & CONTROL. 29, p. 721-740. ELSEVIER SCIENCE BV (2005).
Böhm, Volker, and Wenzelburger, Jan. “On the performance of efficient portfolios”. Journal of Economic Dynamics and Control. ELSEVIER SCIENCE BV, 2005.Vol. 29. JOURNAL OF ECONOMIC DYNAMICS & CONTROL. 721-740.

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