On a Model of Portfolio Selection with Benchmark
Author | : Niklas Wagner |
Publisher | : |
Total Pages | : 25 |
Release | : 2002 |
ISBN-10 | : OCLC:1290401835 |
ISBN-13 | : |
Rating | : 4/5 ( Downloads) |
Download or read book On a Model of Portfolio Selection with Benchmark written by Niklas Wagner and published by . This book was released on 2002 with total page 25 pages. Available in PDF, EPUB and Kindle. Book excerpt: Evidently, the theoretical foundation of behavioral portfolio selection fundamentally differs from the concept of rational portfolio selection under uncertainty. Behavioral portfolio selection with respect to some given benchmark portfolio violates classical axioms of rationality. The paper proposes a unified behavioral model of portfolio selection, which incorporates both, rational portfolio selection as well as benchmarking, and derives its analytical solution. In the model, the manager's utility function is based on regret theory and has two instead of one objective variable. The corresponding EVC-criterion helps to clarify controversial issues in portfolio selection and allows for testable implications.