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Performance evaluation, portfolio selection, and HARA utility

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  • Breuer, Wolfgang
  • Gürtler, Marc

Abstract

Our main goal is the generalization of the approach of Jobson and Korkie(1984) for funds performance evaluation. Therefore, we consider the portfolio selection problem of an investor who faces short sales restrictions when choosing among F different investment funds and assume the investor's utility function to be of the HARA type. We develop a performance measure and discuss its relationships to Treynor(1965), Sharpe(1966), Jensen(1968), Prakash and Bear(1986), and Grinblatt and Titman(1989). Particular attention is given to the special case of cubic utility implying skewness preferences. Our findings are illustrated by an empirical example.

Suggested Citation

  • Breuer, Wolfgang & Gürtler, Marc, 2002. "Performance evaluation, portfolio selection, and HARA utility," Working Papers FW01V4, Technische Universität Braunschweig, Institute of Finance.
    • Handle: RePEc:zbw:tbsifw:fw01v4
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    References listed on IDEAS

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    More about this item

    Keywords

    HARA utility; performance evaluation; portfolio selection; skewness;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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