Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
Shefrin - Behavioral & Neoclassical asset pricing theories - 2008
Create successful ePaper yourself
Turn your PDF publications into a flip-book with our unique Google optimized e-Paper software.
MV Function ∼ Quadratic<br />
2-factor Model, Mkt and Mkt 2<br />
Gross Return to Mean-variance Portfolio:<br />
<strong>Behavioral</strong> Mean-Variance Return vs Efficient Mean-Variance Return<br />
1.03<br />
1.02<br />
Efficient MV Portfolio Return<br />
1.01<br />
Mean-variance Return<br />
1<br />
0.99<br />
0.98<br />
0.97<br />
<strong>Behavioral</strong> MV Portfolio Return<br />
Return to a Combination of the Market Portfolio and<br />
Risk-free Security<br />
0.96<br />
0.95<br />
95.82%<br />
96.64%<br />
97.48%<br />
98.31%<br />
99.16%<br />
100.01%<br />
100.87%<br />
101.74%<br />
102.61%<br />
103.49%<br />
104.38%<br />
105.28%<br />
106.19%<br />
Consumption Growth Rate g (Gross)<br />
Copyright Hersh <strong>Shefrin</strong> <strong>2008</strong><br />
46
Change language