Investors need performance measures particularly as a means for funds selection in the process of exanteportfolio optimization. Unfortunately, there are various performance measures recommended for differentdecision situations. Since an investor may be uncertain which kind of decision problem is...

The requirement of positive marginal utility only makes it possible to derive a restricted twofundseparation theorem for portfolio selection problems replacing the original separation theorem ofCass and Stiglitz (1970). We use our findings for a re-examination of the bias-in-beta problem in...

We consider investors with mean-variance-skewness preferences who aim at selecting oneout of F different funds and combining it optimally with the riskless asset and direct stock holdings.Direct stock holdings are either exogenously or endogenously determined. In our theoretical section,we...