Portfolio choice beyond the traditional approach

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Peñaranda, Francisco. Portfolio choice beyond the traditional approach. 2007
To cite or link this document: http://hdl.handle.net/10230/526
dc.contributor.author Peñaranda, Francisco
dc.contributor.other Universitat Pompeu Fabra. Departament d'Economia i Empresa
dc.date.issued 2007-03-01
dc.identifier.uri http://hdl.handle.net/10230/526
dc.description.abstract This paper surveys asset allocation methods that extend the traditional approach. An important feature of the the traditional approach is that measures the risk and return tradeoff in terms of mean and variance of final wealth. However, there are also other important features that are not always made explicit in terms of investor?s wealth, information, and horizon: The investor makes a single portfolio choice based only on the mean and variance of her final financial wealth and she knows the relevant parameters in that computation. First, the paper describes traditional portfolio choice based on four basic assumptions, while the rest of the sections extend those assumptions. Each section will describe the corresponding equilibrium implications in terms of portfolio advice and asset pricing.
dc.language.iso eng
dc.relation.ispartofseries Economics and Business Working Papers Series; 1026
dc.rights L'accés als continguts d'aquest document queda condicionat a l'acceptació de les condicions d'ús establertes per la següent llicència Creative Commons
dc.rights.uri http://creativecommons.org/licenses/by-nc-nd/3.0/es/
dc.title Portfolio choice beyond the traditional approach
dc.type info:eu-repo/semantics/workingPaper
dc.date.modified 2016-06-04T02:50:59Z
dc.subject.keyword Finance and Accounting
dc.subject.keyword mean-variance analysis
dc.subject.keyword background risks
dc.subject.keyword estimation error
dc.subject.keyword expected utility
dc.subject.keyword multi-period portfolio choice
dc.rights.accessRights info:eu-repo/semantics/openAccess

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