Experimental Tests of the Separation Theorem and the Capital Asset Pricing Model
通过计算机控制的投资组合选择实验，检验分离定理和资本资产定价模型的假设，发现无风险资产的引入未产生预期效果，且风险收益协方差矩阵的变化未影响被试行为，但奖励增加十倍时表现改善。
A computer-controlled portfolio selection task with three risky assets and either with or without a riskless asset was devised to test experimentally assumptions underlying the separation theorem and the capital asset pricing model. Two differently paid groups of subjects completed individually up to 300 portfolio selection problems. Although most of the subjects diversified among the risky assets, the introduction of a riskless asset did not have the effect predicted by the separation theorem, nor were the subjects affected by systematic changes in the variance-covariance matrix governing the risky returns. However, performance improved as the reward was increased tenfold. Copyright 1988 by American Economic Association.