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.
- Language
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Deutsch
- Bibliographic citation
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Series: Working Paper Series ; No. FW01V4
- Classification
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Wirtschaft
Portfolio Choice; Investment Decisions
- Subject
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HARA utility
performance evaluation
portfolio selection
skewness
- Event
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Geistige Schöpfung
- (who)
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Breuer, Wolfgang
Gürtler, Marc
- Event
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Veröffentlichung
- (who)
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Technische Universität Braunschweig, Institut für Finanzwirtschaft
- (where)
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Braunschweig
- (when)
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2002
- Handle
- Last update
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10.03.2025, 11:45 AM CET
Data provider
This object is provided by:
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Breuer, Wolfgang
- Gürtler, Marc
- Technische Universität Braunschweig, Institut für Finanzwirtschaft
Time of origin
- 2002
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