Portfolio selection with growth optimization and downside protection
2007
Lagerkvist, Carl Johan | Olson, Kent D.
This paper applies growth optimization with downside protection as a portfolio selection technique. The model is based on power-log utility functions that combine portfolio growth maximization with the behavioural tenets of prospect theory. We use three assets (a farm return index, a stock market index, and a Treasury bond index) to illustrate how effective this technique is compared to the standard model of growth maximization.
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Эту запись предоставил University of Minnesota
