ABSTRACT. Gil-Bazo provides a theoretical analysis that relates the evolution of the risky asset return distribution over time to the optimal portfolio of a utility-maximizing investor. Gervais and Odean state that investors become less overconfident as they gain more experience in investment activities. Kritzman and Rich study the problem of an investor who must choose between investing all his wealth in a safe asset and investing it in a risky asset. Rational investors should not trade unless they have market timing ability and/or security selection ability (Merton).