Kimball's prudence and two-fund separation as determinants of mutual fund performance evaluation

Arbeitspapier | Working paper

"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." [author's abstract]

Angaben zum Objekt

• Umfang: Seite(n): 54
• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: IF Working Paper Series (FW17V4)

Klassifikation und Themen

• Thema: Wirtschaft ; Finanzwirtschaft, Rechnungswesen

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Breuer, Wolfgang ; Gürtler, Marc
• Ereignis: Veröffentlichung
• (wer): Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
• (wo): Deutschland, Braunschweig
• (wann): 2005

Weitere Informationen

• Handle: http://hdl.handle.net/10419/55255
• Rechteinformation: GESIS - Leibniz-Institut für Sozialwissenschaften. Bibliothek Köln
• Letzte Aktualisierung: 21.06.2024, 16:27 MESZ