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The Compensation Portfolio


Rohner, Philippe; Uhl, Matthias W (2018). The Compensation Portfolio. Finance Research Letters, 27:60-64.

Abstract

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).

Abstract

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).

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Additional indexing

Item Type:Journal Article, refereed, original work
Communities & Collections:03 Faculty of Economics > Department of Banking and Finance
Dewey Decimal Classification:330 Economics
Language:English
Date:December 2018
Deposited On:22 Feb 2019 11:02
Last Modified:22 Feb 2019 12:20
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

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