Rohner, Philippe; Uhl, Matthias W (2018). The Compensation Portfolio. Finance Research Letters, 27:60-64.
We successfully show that it is possible to optimize both for risk and for asset allocation without compromising the optimization of individual goals by introducing the novel concept of a compensation portfolio. Therefore, we solve for the global vs. local optimization paradox by bridging Modern Portfolio Theory (MPT) and Behavioral Portfolio Theory (BPT).
We successfully show that it is possible to optimize both for risk and for asset allocation without compromising the optimization of individual goals by introducing the novel concept of a compensation portfolio. Therefore, we solve for the global vs. local optimization paradox by bridging Modern Portfolio Theory (MPT) and Behavioral Portfolio Theory (BPT).
| Item Type: | Journal Article, refereed, original work |
|---|---|
| Communities & Collections: | 03 Faculty of Economics > Department of Banking and Finance |
| Dewey Decimal Classification: | 330 Economics |
| Scopus Subject Areas: | Social Sciences & Humanities > Finance |
| Language: | English |
| Date: | December 2018 |
| Deposited On: | 22 Feb 2019 11:02 |
| Last Modified: | 02 Dec 2023 08:05 |
| Publisher: | Elsevier |
| ISSN: | 1544-6131 |
| OA Status: | Closed |
| Publisher DOI: | https://doi.org/10.1016/j.frl.2018.02.023 |
| Other Identification Number: | merlin-id:16275 |
Rohner, Philippe