Arbeitspapier
Kimball's prudence and two-fund separation as determinants of mutual fund performance evaluation
We consider investors with mean-variance-skewness preferences who aim at selecting one out of F different funds and combining it optimally with the riskless asset and direct stock holdings. Direct stock holdings are either exogenously or endogenously determined. In our theoretical section, we derive and discuss several performance measures for the investor's decision problems with a central role of Kimball's (1990) prudence and of several variants of Sharpe and Treynor measures. In our empirical section, we show that the distinction between exogenous and endogenous stock holding is less important than the issue of skewness preferences. The latter are most relevant for fund rankings, when an investor's skewness preferences are not derived from cubic HARA utility so that the two-fund separation theorem is not valid. Keywords: investor specific performance measure, performance evaluation, prudence, skewness preferences
- Sprache
-
Deutsch
- Erschienen in
-
Series: Working Paper Series ; No. FW17V4
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Breuer, Wolfgang
Gürtler, Marc
- Ereignis
-
Veröffentlichung
- (wer)
-
Technische Universität Braunschweig, Institut für Finanzwirtschaft
- (wo)
-
Braunschweig
- (wann)
-
2005
- Handle
- Letzte Aktualisierung
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10.03.2025, 11:44 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Breuer, Wolfgang
- Gürtler, Marc
- Technische Universität Braunschweig, Institut für Finanzwirtschaft
Entstanden
- 2005
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