Simon, Frederik; Weibels, Sebastian; Zimmermann, Tom - 2023 - This version: February 2023
investor utility of between 30 and 100 percent over a comparable linear portfolio policy, depending on whether portfolio … restrictions on individual stock weights, short-selling or transaction costs are imposed, and depending on an investor’s utility …-linear relationship between investor utility and firm characteristics. Improvements can be traced to both variable interactions and non …