haku: @freeterm skewness / yhteensä: 4
viite: 2 / 4
| Tekijä: | Breuer, W. Gürtler, M. |
| Otsikko: | Performance evaluation, portfolio selection, and HARA utility |
| Lehti: | European Journal of Finance
2006 : DEC, VOL. 12:8, p. 649-669 |
| Asiasana: | stock markets funds portfolio selection performance appraisal models |
| Vapaa asiasana: | skewness |
| Kieli: | eng |
| Tiivistelmä: | This study aims at generalizing the approach of Jobson and Korkie for funds performance evaluation. Therefore, considered is the portfolio selection problem of an investor facing short sales restrictions when choosing among F different investment funds and assuming the investor's utility function to be of the HARA type. A performance measure is developed and its relationship to previously proposed measures is discussed. Attention is especially given to the special case of cubic utility implying skewness preferences. |
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