Modern finance theory assumes that the stock market is efficient, and stock prices reflect all available information. However, behavioral finance theory argues that stock prices can be influenced by psychological and emotional factors. This study aims to examine the impact of behavioral finance...

This paper aims to develop a feasible estimator of the Sharpe ratio that the investor would expect from estimated efficient portfolios. Based on the analytical expression of the expected Sharpe ratio, we construct an estimator that captures all the errors involved in the estimated efficient...