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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:1
2、5/03/201201:46YouruseoftheJSTORarchiveindicatesyouracceptanceoftheTerms&ConditionsofUse,availableat.http://www.jstor.org/page/info/about/policies/terms.jspJSTORisanot-for-profitservicethathelpsscholars,researchers,andstudentsdiscover,use,andbuilduponawiderangeofcontentinatrusteddig
3、italarchive.Weuseinformationtechnologyandtoolstoincreaseproductivityandfacilitatenewformsofscholarship.FormoreinformationaboutJSTOR,pleasecontactsupport@jstor.org.UniversityofWashingtonSchoolofBusinessAdministrationiscollaboratingwithJSTORtodigitize,preserveandextendaccesstoTheJour
4、nalofFinancialandQuantitativeAnalysis.http://www.jstor.orgJOURNALOFFINANCIALANDQUANTITATIVEANALYSISVOL35,NO.2,JUNE2000COPYRIGHT2000,SCHOOLOFBUSINESSADMINISTRATION,UNIVERSITYOFWASHINGTON,SEATTLE,WA98195BehavioralPortfolioTheoryHershShefrinandMeirStatman*AbstractWedevelopapositivebeh
5、avioralportfoliotheory(BPT)andexploreitsimplicationsforportfolioconstructionandsecuritydesign.TheoptimalportfoliosofBPTinvestorsre-semblecombinationsofbondsandlotterytickets,consistentwithFriedmanandSavage's(1948)observation.WecomparetheBPTefficientfrontierwiththemean-varianceeffi-
6、cientfrontierandshowthat,ingeneral,thetwofrontiersdonotcoincide.OptimalBPTportfoliosarealsodifferentfromoptimalCAPMportfolios.Inparticular,theCAPMtwo-fundseparationdoesnotholdinBPT.WepresentBPTinasinglementalaccountversion(BPT-SA)andamultiplementalaccountversion(BPT-MA).BPT-SAinves
7、torsintegratetheirportfoliosintoasinglementalaccount,whileBPT-MAinvestorssegregatetheirport?foliosintoseveralmentalaccounts.BPT-MAportfoliosresemblelayeredpyramids,wherelayersareassociatedwithaspirations.Weexploreatwo-layerportfoliowherethelowas-pirationlayerisdesignedtoavoidpovert
8、ywhilethehighaspirationlay
