کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
5090857 1375648 2008 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Utilitarianism and fairness in portfolio positioning
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Utilitarianism and fairness in portfolio positioning
چکیده انگلیسی
The paper introduces the theory of optimal positioning of financial products. It is illustrated in the context of long-term intertemporal portfolio allocation and can be applied for example to asset allocation funds. We embed this problem in location theory: the portfolio is optimized within the investors'risk aversion dimension. For the CRRA utility functions, we compute explicitly the distance functions. For the first (utilitarian criterion), the average utility of the investors is maximized. For the second one (fairness criterion), the choice of portfolio is optimized so that the average monetary loss due to the lack of customization is minimized. Given the distribution of investors' risk aversion, we provide a solution method and an algorithm to optimally position standardized portfolio along one of these two criteria.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Banking & Finance - Volume 32, Issue 8, August 2008, Pages 1648-1660
نویسندگان
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