Portfolio selection with growth optimization and downside protection

Carl-Johan Lagerkvist; Kent D. Olson

Portfolio selection with growth optimization and downside protection

Carl-Johan Lagerkvist
, Kent D. Olson

Institutionen för ekonomi

Publikation: Konferensbidrag › Konferensartikel (ej i proceedings)

Sammanfattning

This paper applies growth optimization with downside protection as a portfolio selection technique. The model is based on power-log utility functions that combine portfolio growth maximization with the behavioural tenets of prospect theory. We use three assets (a farm return index, a stock market index, and a Treasury bond index) to illustrate how effective this technique is compared to the standard model of growth maximization

Originalspråk	Engelska
Antal sidor	19
Status	Publicerad - 2007
Evenemang	Annual Meeting of the American Agricultural Economics Association - Portland Varaktighet: 1 jan. 2007 → …

Konferens

Konferens	Annual Meeting of the American Agricultural Economics Association
Ort	Portland
Period	2007-01-01 → …

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AB - This paper applies growth optimization with downside protection as a portfolio selection technique. The model is based on power-log utility functions that combine portfolio growth maximization with the behavioural tenets of prospect theory. We use three assets (a farm return index, a stock market index, and a Treasury bond index) to illustrate how effective this technique is compared to the standard model of growth maximization

UR - https://res.slu.se/id/publ/15951

UR - http://agecon.lib.umn.edu/cgi-bin/detailview.pl?paperid=26270

M3 - Conference paper (not in proceedings)

T2 - Annual Meeting of the American Agricultural Economics Association

Y2 - 1 January 2007

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