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How do the insights from finance theories influence investment decisions? We plan to conduct a lab experiment in which we sort subjects according to their familiarity with the key intuitions of the Modern Portfolio Theory (MPT). Then we ask them to participate in an asset allocation task in the lab. In this task, they allocate their experimental wealth between a risk-free asset and two risky assets, with known underlying price-generating processes. The tasks are designed in such a way that the MPT has sharp and intuitive predictions on allocation strategies. Between treatments, we manipulate volatilities and market trends, which should have no influence on the MPT-based strategy, to test their influences on portfolio weights. In this setting, we will investigate the behavioral differences between subjects who are familiar with MPT and those who are unfamiliar, in terms of their portfolio choices, disposition effect, correlation neglect, and extrapolation. Our results will reveal the influence of MPT and the reason for departures from MPT. This will shed light on a number of empirical findings, such as portfolio overlapping among individual investors (both retail and institutional), and the widening gap in abnormal returns between low alpha and high alpha portfolios subsequent to the proposition of CAPM. This will also enrich our understanding about financial literacy and financial education.