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We develop a normative theory for constructing mean-variance portfolios robust to model misspecification. We identify … and a "beta'' portfolio that depends on factor risk premia, which when combined give mean-variance efficient portfolios …
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overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational … bonds are an essential accompaniment of equity investment, as they serve to hedge this sentiment risk …
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overconfident about the signal. We find that, because overconfident traders introduce an additional source of risk, rational … bonds are an essential accompaniment of equity investment, as they serve to hedge this "sentiment risk." …
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