Portfolio selection with growth optimization and downside protection

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

Konferens

Annual Meeting of the American Agricultural Economics Association

SLU författare

• Lagerkvist, Carl-Johan

  • Institutionen för ekonomi, Sveriges lantbruksuniversitet
    

UKÄ forskningsämne

Ekonomi och näringsliv
Samhällsvetenskap

Permanent länk till denna sida (URI)

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