Arbeitspapier
Performance evaluation, portfolio selection, and HARA utility
Our main goal is the generalization of the approach of Jobson and Korkie(1984) for funds performance evaluation. Therefore, we consider the portfolio selection problem of an investor who faces short sales restrictions when choosing among F different investment funds and assume the investor's utility function to be of the HARA type. We develop a performance measure and discuss its relationships to Treynor(1965), Sharpe(1966), Jensen(1968), Prakash and Bear(1986), and Grinblatt and Titman(1989). Particular attention is given to the special case of cubic utility implying skewness preferences. Our findings are illustrated by an empirical example.
- Sprache
-
Deutsch
- Erschienen in
-
Series: Working Paper Series ; No. FW01V4
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
- Thema
-
HARA utility
performance evaluation
portfolio selection
skewness
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Breuer, Wolfgang
Gürtler, Marc
- Ereignis
-
Veröffentlichung
- (wer)
-
Technische Universität Braunschweig, Institut für Finanzwirtschaft
- (wo)
-
Braunschweig
- (wann)
-
2002
- Handle
- Letzte Aktualisierung
- 10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
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Objekttyp
- Arbeitspapier
Beteiligte
- Breuer, Wolfgang
- Gürtler, Marc
- Technische Universität Braunschweig, Institut für Finanzwirtschaft
Entstanden
- 2002
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