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Investor Characteristics and Portfolio Value

In: Recent Advances In Financial Engineering 2010

Author

Listed:
  • Naoya Takezawa

    (Graduate School of Business Administration, Nanzan University, 18 Yamazato-cho, Showa-ku, Nagoya 466-8873, Japan)

Abstract

This paper investigates portfolio value behavior when the investors possessing the portfolio exhibit heterogeneous characteristics by altering the fraction of wealth invested by each investor and each investor's risk aversion. Portfolio value is investigated when these investors face trading restrictions and prices are observable. The behavior of the portfolio risk characteristics is examined for specific scenarios and price processes.

Suggested Citation

  • Naoya Takezawa, 2011. "Investor Characteristics and Portfolio Value," World Scientific Book Chapters, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide (ed.), Recent Advances In Financial Engineering 2010, chapter 10, pages 215-224, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814366038_0010
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