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Title:Performance evaluation, portfolio selection, and HARA utility PDF Logo
Authors:Breuer, Wolfgang
Gürtler, Marc
Issue Date:2002
Series/Report no.:Working papers // Institut für Finanzwirtschaft, Technische Universität Braunschweig FW01V4
Abstract:Our main goal is the generalization of the approach of Jobson and Korkie(1984) for funds performance evaluation. Therefore, we consider the portfolio selection problem of an investor who faces short sales restrictions when choosing among F different investment funds and assume the investor's utility function to be of the HARA type. We develop a performance measure and discuss its relationships to Treynor(1965), Sharpe(1966), Jensen(1968), Prakash and Bear(1986), and Grinblatt and Titman(1989). Particular attention is given to the special case of cubic utility implying skewness preferences. Our findings are illustrated by an empirical example.
Subjects:HARA utility
performance evaluation
portfolio selection
skewness
JEL:G11
Document Type:Working Paper
Appears in Collections:Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig

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