Portfolio Choice for HARA Investors : When Does 1/Gamma (not) Work?

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dc.contributor.authorFranke, Günter
dc.contributor.authorGraf, Ferdinand
dc.date.accessioned2011-03-25T09:42:56Zdeu
dc.date.available2011-03-25T09:42:56Zdeu
dc.date.issued2010deu
dc.description.abstractIn the continuous time-Merton-model the instantaneous stock proportions are inversely proportional to the investor's local relative risk aversion. This paper analyses the conditions under which a HARA-investor can use this 1/gamma-rule to approximate her optimal portfolio in a finite time setting without material effects on the certainty equivalent of the portfolio payoff. The approximation is of high quality if approximate arbitrage opportunities do not exist and if the investor's relative risk aversion is higher than that used for deriving the approximation portfolio. Otherwise, the approximation quality may be bad.eng
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dc.language.isoengdeu
dc.legacy.dateIssued2010deu
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.titlePortfolio Choice for HARA Investors : When Does 1/Gamma (not) Work?eng
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@techreport{Franke2010Portf-12138,
  year={2010},
  series={Working Paper Series / Department of Economics},
  title={Portfolio Choice for HARA Investors : When Does 1/Gamma (not) Work?},
  number={2010-11},
  author={Franke, Günter and Graf, Ferdinand}
}
kops.citation.iso690FRANKE, Günter, Ferdinand GRAF, 2010. Portfolio Choice for HARA Investors : When Does 1/Gamma (not) Work?deu
kops.citation.iso690FRANKE, Günter, Ferdinand GRAF, 2010. Portfolio Choice for HARA Investors : When Does 1/Gamma (not) Work?eng
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