EconStor >
Technische Universität Braunschweig >
Institut für Finanzwirtschaft, Technische Universität Braunschweig >
Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig >

Please use this identifier to cite or link to this item:

http://hdl.handle.net/10419/55255
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorBreuer, Wolfgangen_US
dc.contributor.authorGürtler, Marcen_US
dc.date.accessioned2012-02-07en_US
dc.date.accessioned2012-02-10T15:39:08Z-
dc.date.available2012-02-10T15:39:08Z-
dc.date.issued2005en_US
dc.identifier.urihttp://hdl.handle.net/10419/55255-
dc.description.abstractWe consider investors with mean-variance-skewness preferences who aim at selecting one out of F different funds and combining it optimally with the riskless asset and direct stock holdings. Direct stock holdings are either exogenously or endogenously determined. In our theoretical section, we derive and discuss several performance measures for the investor's decision problems with a central role of Kimball's (1990) prudence and of several variants of Sharpe and Treynor measures. In our empirical section, we show that the distinction between exogenous and endogenous stock holding is less important than the issue of skewness preferences. The latter are most relevant for fund rankings, when an investor's skewness preferences are not derived from cubic HARA utility so that the two-fund separation theorem is not valid. Keywords: investor specific performance measure, performance evaluation, prudence, skewness preferencesen_US
dc.language.isogeren_US
dc.publisherInstitut für Finanzwirtschaft, Technische Universität Braunschweig Braunschweigen_US
dc.relation.ispartofseriesWorking papers // Institut für Finanzwirtschaft, Technische Universität Braunschweig FW17V4en_US
dc.subject.jelG11en_US
dc.subject.ddc330en_US
dc.titleKimball's prudence and two-fund separation as determinants of mutual fund performance evaluationen_US
dc.typeWorking Paperen_US
dc.identifier.ppn684835746en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen_US
dc.identifier.repecRePEc:zbw:tbsifw:FW17V4-
Appears in Collections:Working Paper Series, Institut für Finanzwirtschaft, TU Braunschweig

Files in This Item:
File Description SizeFormat
684835746.pdf423.19 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.