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Performance evaluation, portfolio selection, and HARA utility
[working paper]
Corporate Editor
Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
Abstract "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 utilit... view more
"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." (author's abstract)... view less
Keywords
evaluation; investment; research; empirical research; performance assessment; measurement; achievement; portfolio selection
Classification
Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods
Document language
English
Publication Year
2002
City
Braunschweig
Page/Pages
19 p.
Series
IF Working Paper Series, FW01V4
Handle
https://hdl.handle.net/10419/55252
Status
reviewed
Licence
Deposit Licence - No Redistribution, No Modifications
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