![]() ![]() As a result, the growth optimal portfolio theory and the leverage space portfolio theory can also be understood under our general framework. Furthermore, the consideration of a general utility function allows to go beyond the "additive" performance measure to a "multiplicative" one of cumulative returns by using the log utility. when an approximation of the maximum drawdown is considered as a risk measure. ![]() ![]() This generalized capital asset pricing model also applies to e.g. Using our general framework, we also recover the results in that extends the capital market pricing model to allow for the use of more general deviation measures. The modern portfolio theory of Markowitz and its natural generalization, the capital market pricing model, are special cases of our general framework when the risk measure is taken to be the standard deviation and the utility function is the identity mapping. We show that efficient trade-off between these two measurements for investment portfolios happens, in general, on a convex curve in the two dimensional space of utility and risk. Utility and risk are two often competing measurements on the investment success. ![]()
0 Comments
Leave a Reply. |
AuthorWrite something about yourself. No need to be fancy, just an overview. ArchivesCategories |