TY  - GEN
AB  - 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.
DA  - 2004
KW  - CAPM
KW  - Efficient portfolios
KW  - Heterogeneity
KW  - Asset markets
LA  - eng
PY  - 2004
TI  - On the performance of efficient portfolios
UR  - https://nbn-resolving.org/urn:nbn:de:hbz:361-4596
Y2  - 2024-11-22T09:59:03
ER  -