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

Published in

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