The economic cost of selection neglect in portfolio choice: evidence from Australian fine wine auctions
利用澳大利亚葡萄酒拍卖数据，研究投资者忽视市场选择偏差（如流拍、撤回等）时，会因低估预期收益而每月损失1.2%的确定性等价回报，对关注另类资产配置的投资者有参考价值。
We estimate whether investors incur economic costs when they observe a selected subset of market outcomes. Using data from Langton’s, Australia’s principal wine auction house, we apply a Markov Chain Monte Carlo model that jointly estimates latent prices and the probability of trading, correcting selection bias. Our auction setting offers direct observability of four outcomes – sold, passed-in, withdrawn, and never offered – making the selection mechanism transparent. We demonstrate that investors who ignore such selection effects create suboptimal mean-variance portfolios, forgoing 1.2% per month in certainty-equivalent returns, driven mainly by underestimated expected returns rather than misestimated covariances.