Name
Abstract | ||
|---|---|---|
We consider the investor choice among standardized portfolios, which are based on cash, bond and stock indexes. We present
the intertemporal optimization problem with commonly used utility functions. We provide a method to determine the optimal
investor’s choice, based on the knowledge of investor’s type (risk aversion and time horizon) and on market performances.
For the utility functions envisaged, we compute the losses from not having access to a customized portfolio and show these
losses may be severe. |
Year | DOI | Venue |
|---|---|---|
2009 | https://doi.org/10.1007/s10479-008-0447-6 | Annals of Operations Research |
Keywords | Field | DocType |
Interest Rate,Utility Function,Time Horizon,Risk Aversion,Optimal Portfolio | Mathematical optimization,Economics,Time horizon,Stock market index,Portfolio,Interest rate,Portfolio optimization,Risk aversion,Compensating variation,Merton's portfolio problem | Journal |
Volume | Issue | ISSN |
165 | 1 | 0254-5330 |
Citations | PageRank | References |
2 | 0.60 | 1 |
Authors | ||
2 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| André De Palma | 1 | 42 | 18.56 |
| J.-L. Prigent | 2 | 14 | 9.64 |