文章基本信息

标题：Portfolio diversification: an experimental study
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作者：Zulia Gubaydullina ; Markus Spiwoks
期刊名称：Diskussionsbeiträge aus dem Volkswirtschaftlichen Seminar / Universität Göttingen
出版年度：2009
卷号：2009
出版社：Universität Göttingen
摘要：The paper analyses on an experimental basis the phenomenon of non-optimal under-diversification in portfolio choice decisions and investigates the reasons behind it. The most important obstacles for optimal diversification are studied – the correlation neglect hypothesis and the overconfidence which both lead to suboptimal diversification decisions. The investment alternatives are constructed in a way that the Markowitz’ efficiency frontier is reduced to a single point in the return-risk diagram so that unambiguous interpretation of the results is possible: the subjects neglect the correlation between the assets, use naïve diversification strategies and take irrelevant information as a foundation for their investment decisions, the first effect being stronger than the second.
关键词：experimental economics; portfolio choice; investment decisions; correlation neglect; overconfidence