Publikation:

Does portfolio optimization pay?

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Franke-Graf.pdf
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2011

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http://nbn-resolving.de/urn:nbn:de:bsz:352-148035
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Working Paper/Technical Report
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Zusammenfassung

All HARA-utility investors with the same exponent invest in a single risky fund and the risk-free asset. In a continuous time-model stock proportions are proportional to the inverse local relative risk aversion of the investor (1/gamma-rule). This paper analyses the conditions under which the optimal buy and holdportfolio of a HARA-investor can be approximated by the optimal portfolio of an investor with some low level of constant relative risk aversion using the 1/gamma-rule. It turns out that the approximation works very well in markets without approximate arbitrage opportunities. In markets with high equity premiums this approximation may be of low quality.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
330 Wirtschaft

Schlagwörter

HARA-utility, portfolio choice, certainty equivalent, approximated choice

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ISO 690FRANKE, Günter, Ferdinand GRAF, 2011. Does portfolio optimization pay?
BibTex
@techreport{Franke2011portf-14803,
  year={2011},
  series={Working Paper Series / Department of Economics},
  title={Does portfolio optimization pay?},
  number={2011-19},
  author={Franke, Günter and Graf, Ferdinand}
}
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