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1、BehavioralPortfolioTheoryAuthor(s):HershShefrinandMeirStatmanReviewedwork(s):Source:TheJournalofFinancialandQuantitativeAnalysis,Vol.35,No.2(Jun.,2000),pp.127-151Publishedby:UniversityofWashingtonSchoolofBusinessAdministrationStableURL:http://www.jstor.org/stable/2676187.Accessed:15/03/201201:
2、46YouruseoftheJSTORarchiveindicatesyouracceptanceoftheTerms&ConditionsofUse,availableat.http://www.jstor.org/page/info/about/policies/terms.jspJSTORisanot-for-profitservicethathelpsscholars,researchers,andstudentsdiscover,use,andbuilduponawiderangeofcontentinatrusteddigitalarchive.Weuseinforma
3、tiontechnologyandtoolstoincreaseproductivityandfacilitatenewformsofscholarship.FormoreinformationaboutJSTOR,pleasecontactsupport@jstor.org.UniversityofWashingtonSchoolofBusinessAdministrationiscollaboratingwithJSTORtodigitize,preserveandextendaccesstoTheJournalofFinancialandQuantitativeAnalysi
4、s.http://www.jstor.orgJOURNALOFFINANCIALANDQUANTITATIVEANALYSISVOL35,NO.2,JUNE2000COPYRIGHT2000,SCHOOLOFBUSINESSADMINISTRATION,UNIVERSITYOFWASHINGTON,SEATTLE,WA98195BehavioralPortfolioTheoryHershShefrinandMeirStatman*AbstractWedevelopapositivebehavioralportfoliotheory(BPT)andexploreitsimplicat
5、ionsforportfolioconstructionandsecuritydesign.TheoptimalportfoliosofBPTinvestorsre-semblecombinationsofbondsandlotterytickets,consistentwithFriedmanandSavage's(1948)observation.WecomparetheBPTefficientfrontierwiththemean-varianceeffi-cientfrontierandshowthat,ingeneral,thetwofrontiersdonotcoinc
6、ide.OptimalBPTportfoliosarealsodifferentfromoptimalCAPMportfolios.Inparticular,theCAPMtwo-fundseparationdoesnotholdinBPT.WepresentBPTinasinglementalaccountversion(BPT-SA)andamultiplementalaccountversion(BPT-MA).BPT-SAinvestorsintegratetheirportfoliosintoasinglementalaccount,whileBPT-MAinvestor
7、ssegregatetheirport?foliosintoseveralmentalaccounts.BPT-MAportfoliosresemblelayeredpyramids,wherelayersareassociatedwithaspirations.Weexploreatwo-layerportfoliowherethelowas-pirationlayerisdesignedtoavoidpovertywhilethehighaspirationlay
