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| Tekijä: | Hellwig, K. |
| Otsikko: | Portfolio selection under the condition of value preservation |
| Lehti: | Review of Quantitative Finance and Accounting
1996 : VOL. 7:3, p. 299-306 |
| Asiasana: | ACCOUNTING FINANCE PORTFOLIO SELECTION |
| Kieli: | eng |
| Tiivistelmä: | Besides risk and return, investors often are interested in choosing a portfolio such that the portfolio value is preserved. However, the traditional utility-maximizing approach generally fails to provide such a solution. As a different approach value preservation is formulated as an equilibrium problem. Following this approach it is shown that under reasonable assumptions a value preserving solution exists. The solution only depends on the set of feasible portfolio decisions. Contrary to this, the Bernoulli principle in addition requires a utility function that is independent from this set. |
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