Performance evaluation, portfolio selection, and HARA utility

Breuer, Wolfgang; Gürtler, Marc

[working paper]

dc.contributor.author	Breuer, Wolfgang	de
dc.contributor.author	Gürtler, Marc	de
dc.date.accessioned	2012-05-29T14:01:00Z	de
dc.date.accessioned	2015-05-19T07:51:20Z
dc.date.available	2015-05-19T07:51:20Z
dc.date.issued	2002	de
dc.identifier.uri	http://www.ssoar.info/ssoar/handle/document/43074
dc.description.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." (author's abstract)	en
dc.language	en	de
dc.subject.ddc	Sozialwissenschaften, Soziologie	de
dc.subject.ddc	Social sciences, sociology, anthropology	en
dc.title	Performance evaluation, portfolio selection, and HARA utility	de
dc.description.review	begutachtet	de
dc.description.review	reviewed	en
dc.identifier.url	http://www.fiwi.tu-bs.de/fileadmin/files/forschung/working_papers/FW01.pdf	de
dc.source.volume	FW01V4	de
dc.publisher.country	DEU
dc.publisher.city	Braunschweig	de
dc.source.series	IF Working Paper Series
dc.subject.classoz	Erhebungstechniken und Analysetechniken der Sozialwissenschaften	de
dc.subject.classoz	Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods	en
dc.subject.thesoz	Bewertung	de
dc.subject.thesoz	evaluation	en
dc.subject.thesoz	Investition	de
dc.subject.thesoz	investment	en
dc.subject.thesoz	Forschung	de
dc.subject.thesoz	research	en
dc.subject.thesoz	empirische Forschung	de
dc.subject.thesoz	empirical research	en
dc.subject.thesoz	Leistungsbewertung	de
dc.subject.thesoz	performance assessment	en
dc.subject.thesoz	Messung	de
dc.subject.thesoz	measurement	en
dc.subject.thesoz	Leistung	de
dc.subject.thesoz	achievement	en
dc.subject.thesoz	Portfolio-Selection	de
dc.subject.thesoz	portfolio selection	en
dc.date.modified	2012-05-29T14:01:00Z	de
dc.rights.licence	Deposit Licence - Keine Weiterverbreitung, keine Bearbeitung	de
dc.rights.licence	Deposit Licence - No Redistribution, No Modifications	en
ssoar.contributor.institution	USB Köln	de
internal.status	formal und inhaltlich fertig erschlossen	de
internal.identifier.thesoz	10036171
internal.identifier.thesoz	10037283
internal.identifier.thesoz	10037018
internal.identifier.thesoz	10042034
internal.identifier.thesoz	10036172
internal.identifier.thesoz	10036930
internal.identifier.thesoz	10036344
internal.identifier.thesoz	10055028
dc.type.stock	monograph	de
dc.type.document	Arbeitspapier	de
dc.type.document	working paper	en
dc.rights.copyright	f	de
dc.source.pageinfo	19	de
internal.identifier.classoz	10105
internal.identifier.document	3
dc.contributor.corporateeditor	Technische Universität Braunschweig, Department Wirtschaftswissenschaften, Institut für Finanzwirtschaft
internal.identifier.corporateeditor	434
internal.identifier.ddc	300
dc.description.pubstatus	unbekannt	de
dc.description.pubstatus	Unknown	en
internal.identifier.licence	3
internal.identifier.pubstatus	4
internal.identifier.review	2
internal.identifier.series	675
dc.subject.classhort	10100	de
dc.identifier.handle	https://hdl.handle.net/10419/55252
internal.check.abstractlanguageharmonizer	CERTAIN

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Erhebungstechniken und Analysetechniken der Sozialwissenschaften
Methods and Techniques of Data Collection and Data Analysis, Statistical Methods, Computer Methods

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