Portfolio selection with growth optimization and downside protection

Abstract

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

Conference

Annual Meeting of the American Agricultural Economics Association

SLU Authors

• Lagerkvist, Carl-Johan

  • Department of Economics, Swedish University of Agricultural Sciences
    

UKÄ Subject classification

Economics and Business
Social Sciences

Permanent link to this page (URI)

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