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Performance evaluation, portfolio selection, and HARA utility

[working paper]

Breuer, Wolfgang; Gürtler, Marc

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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 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)
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
Licence Deposit Licence - No Redistribution, No Modifications
data provider This metadata entry was indexed by the Special Subject Collection Social Sciences, USB Cologne