Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: http://hdl.handle.net/10419/55252
Autoren: 
Breuer, Wolfgang
Gürtler, Marc
Datum: 
2002
Reihe/Nr.: 
Working Paper Series FW01V4
Zusammenfassung: 
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.
Schlagwörter: 
HARA utility
performance evaluation
portfolio selection
skewness
JEL: 
G11
Dokumentart: 
Working Paper
Nennungen in sozialen Medien:

Datei(en):
Datei
Größe
937.4 kB





Publikationen in EconStor sind urheberrechtlich geschützt.