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

Breuer, Wolfgang; Gürtler, Marc

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[working paper]

dc.contributor.author	Breuer, Wolfgang	de
dc.contributor.author	Gürtler, Marc	de
dc.date.accessioned	2012-05-29T14:02:00Z	de
dc.date.accessioned	2012-12-06T11:22:21Z
dc.date.available	2012-12-06T11:22:21Z
dc.date.issued	2005	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/32319
dc.description.abstract	"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]	en
dc.language	en	de
dc.subject.ddc	Wirtschaft	de
dc.subject.ddc	Economics	en
dc.subject.other	investor specific performance measure; performance evaluation; prudence; skewness preferences
dc.title	Kimball's prudence and two-fund separation as determinants of mutual fund performance evaluation	de
dc.description.review	begutachtet	de
dc.description.review	reviewed	en
dc.identifier.url	http://www.fiwi.tu-bs.de/fileadmin/files/forschung/working_papers/FW17.pdf	de
dc.source.volume	FW17V4	de
dc.publisher.country	DEU
dc.publisher.city	Braunschweig	de
dc.source.series	IF Working Paper Series
dc.subject.classoz	Finanzwirtschaft, Rechnungswesen	de
dc.subject.classoz	Financial Planning, Accountancy	en
dc.date.modified	2012-05-29T14:02:00Z	de
dc.rights.licence	Deposit Licence - Keine Weiterverbreitung, keine Bearbeitung	de
dc.rights.licence	Deposit Licence - No Redistribution, No Modifications	en
ssoar.greylit	true	de
ssoar.contributor.institution	USB Köln	de
internal.status	formal und inhaltlich fertig erschlossen	de
dc.type.stock	monograph	de
dc.type.document	Arbeitspapier	de
dc.type.document	working paper	en
dc.rights.copyright	f	de
dc.source.pageinfo	54	de
internal.identifier.classoz	1090406
internal.identifier.document	3
dc.contributor.corporateeditor	Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
internal.identifier.corporateeditor	434
internal.identifier.ddc	330
dc.description.pubstatus	Unknown	en
dc.description.pubstatus	unbekannt	de
internal.identifier.licence	3
internal.identifier.pubstatus	4
internal.identifier.review	2
internal.identifier.series	675
dc.identifier.handle	https://hdl.handle.net/10419/55255
internal.check.abstractlanguageharmonizer	CERTAIN
internal.check.languageharmonizer	CERTAIN_RETAINED

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Finanzwirtschaft, Rechnungswesen
Financial Planning, Accountancy

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