Social and Behavioral Sciences Commons^™

Allocating In The Presence Of Dominance: A Mean-Variance Portfolio Choice Economic Experiment, Jack Gardner

Gettysburg Economic Review

I conduct a mean-variance portfolio choice economic experiment to evaluate how individuals’ portfolio choices deviate from what modern portfolio theory considers optimal. The experimental framework is comprised of three treatments. In each treatment the portfolio selection task involves choosing between two risky assets with zero correlation among their payoffs and one risk free asset. Participants are tasked with completing thirty choice rounds in which they must allocate a constant experimental capital amount to the available asset options after which they are shown period-by-period state-realizations. I utilize the definition of dominance as described in Neugebauer (2004), and Baltussen and Post (2011), …