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Utility comparison between security selectors, asset allocators and equally weighted portfolios within a selected ETF universe

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Listed:
  • Walter Hlawitschka
  • Michael Tucker

    (Dolan School of Business, Fairfield University)

Abstract

We examine the ex ante utility of a portfolio from a universe of exchange-traded funds (ETFs) selected according to three criteria in order to see if asset allocation is as relevant as BSB found. Ex ante utility is maximised for stock selector portfolio based on mean variance efficiency. Investors would be willing to surrender significant wealth to migrate from both an asset allocation and an equally weighted portfolio to the stock selector portfolio.

Suggested Citation

  • Walter Hlawitschka & Michael Tucker, 2008. "Utility comparison between security selectors, asset allocators and equally weighted portfolios within a selected ETF universe," Journal of Asset Management, Palgrave Macmillan, vol. 9(1), pages 67-72, May.
    • Handle: RePEc:pal:assmgt:v:9:y:2008:i:1:d:10.1057_jam.2008.5
    DOI: 10.1057/jam.2008.5
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    References listed on IDEAS

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    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    2. Green, Richard C & Hollifield, Burton, 1992. "When Will Mean-Variance Efficient Portfolios Be Well Diversified?," Journal of Finance, American Finance Association, vol. 47(5), pages 1785-1809, December.
    3. Walter Hlawitschka & Michael Tucker, 2006. "Wealth management: The relative importance of asset allocation and security selection," Journal of Asset Management, Palgrave Macmillan, vol. 7(1), pages 49-59, May.
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