Power-Log Portfolio Optimization for Managing Downside Risk

Power-Log Portfolio Optimization for Managing Downside Risk

Author: zant worldpress

This research paper tests the effectiveness of Power-Log
optimization for managing the downside risk of investment
portfolios. It uses Power-Log utility functions, which are based
on tenets of behavioral finance, to give investors the ability to
build downside protection directly into a portfolio. Comparing
optimal Power-Log portfolios with matched mean-variance
efficient portfolios, we find that the optimal Power-Log portfolios
have lower downside risk, while delivering higher geometric
average return. They also provide much better downside
protection against unanticipated market shocks, such as the
one in 2008, in contrast to the disastrous performance for
matched mean-variance efficient portfolios. Power-Log
optimization succeeds in managing downside risk effectively,
while mean variance analysis fails to protect investors from
such risk.

JEL Codes: G11

Total Reviews: 0


Browse Wishlist

Delivery System

After completion purchase and payment you will get an email with download link of book. You can download this book within 24 hours. Be remember you can't download this book after 24 hours.


There are no reviews yet.

Be the first to review “Power-Log Portfolio Optimization for Managing Downside Risk”