Does portfolio optimization pay?

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dc.contributor.authorFranke, Günter
dc.contributor.authorGraf, Ferdinand
dc.date.accessioned2011-08-15T14:46:16Zdeu
dc.date.available2011-08-15T14:46:16Zdeu
dc.date.issued2011deu
dc.description.abstractAll 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.deu
dc.description.versionpublished
dc.identifier.ppn34960505Xdeu
dc.identifier.urihttp://kops.uni-konstanz.de/handle/123456789/14803
dc.language.isodeudeu
dc.legacy.dateIssued2011-08-15deu
dc.relation.ispartofseriesWorking Paper Series / Department of Economics
dc.rightsterms-of-usedeu
dc.rights.urihttps://rightsstatements.org/page/InC/1.0/deu
dc.subjectHARA-utilitydeu
dc.subjectportfolio choicedeu
dc.subjectcertainty equivalentdeu
dc.subjectapproximated choicedeu
dc.subject.ddc330deu
dc.subject.jelG10, G11, D81deu
dc.titleDoes portfolio optimization pay?deu
dc.typeWORKINGPAPERdeu
dspace.entity.typePublication
kops.bibliographicInfo.seriesNumber2011-19
kops.citation.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}
}
kops.citation.iso690FRANKE, Günter, Ferdinand GRAF, 2011. Does portfolio optimization pay?deu
kops.citation.iso690FRANKE, Günter, Ferdinand GRAF, 2011. Does portfolio optimization pay?eng
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