Portfolio selection with growth optimization and downside protection

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.


Issue Date:
2007
Publication Type:
Conference Paper/ Presentation
PURL Identifier:
http://purl.umn.edu/9724
Total Pages:
19
JEL Codes:
D92
Series Statement:
Selected Paper 174710




 Record created 2017-04-01, last modified 2017-08-23

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