Portfolio selection with growth optimization and downside protection

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.

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Year of publication:	2007
Authors:	Lagerkvist, Carl Johan ; Olson, Kent D.
Institutions:	Agricultural and Applied Economics Association - AAEA
Subject:	portfolio management \| growth optimization \| Financial Economics

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Extent:	application/pdf
Series:	2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon TN.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon Number 9724
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005522220