The compensation portfolio

Matthias W. Uhl and Philippe Rohner

Finance Research Letters, 2018, vol. 27, issue C, 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).

Keywords: Optimization; Goal-based investing; Compensation portfolio (search for similar items in EconPapers)
JEL-codes: G11 G40 G41 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:27:y:2018:i:c:p:60-64

DOI: 10.1016/j.frl.2018.02.023

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