Irrational Diversification: An Examination of Individual Portfolio Choice
通过实验室实验研究个人投资组合选择，发现人们倾向于关注单个资产的收益分布而忽略分散化好处，使用条件性1/n分散化启发式，即使导致一阶随机占优被支配也如此，且问题呈现方式显著影响决策。
Abstract We study individual portfolio choice in a laboratory experiment and find strong evidence for heuristic behavior. The subjects tend to focus on the marginal distribution of an asset, while largely ignoring its diversification benefits. They follow a conditional 1/ n diversification heuristic as they exclude the assets with an “unattractive” marginal distribution and divide the available funds equally between the remaining “attractive” assets. This strategy is applied even if it leads to allocations that are dominated in terms of first-order stochastic dominance and is clearly irrational. In line with these findings, we find that framing and problem presentation have substantial influence on portfolio decisions.