Utility comparison between security selectors, asset allocators and equally weighted portfolios within a selected ETF universe

Walter Hlawitschka and Michael Tucker ()
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Michael Tucker: Dolan School of Business, Fairfield University

Journal of Asset Management, 2008, vol. 9, issue 1, No 7, 67-72

Abstract: Abstract We examine the ex ante utility of a portfolio from a universe of exchange-traded funds (ETFs) selected according to three criteria in order to see if asset allocation is as relevant as BSB found. Ex ante utility is maximised for stock selector portfolio based on mean variance efficiency. Investors would be willing to surrender significant wealth to migrate from both an asset allocation and an equally weighted portfolio to the stock selector portfolio.

Keywords: asset allocation; ETF; asset management (search for similar items in EconPapers)
Date: 2008
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DOI: 10.1057/jam.2008.5

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