Portfolio selection with growth optimization and downside protection

Carl-Johan Lagerkvist and Kent Olson

No 9724, 2007 Annual Meeting, July 29-August 1, 2007, Portland, Oregon from American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association)

Abstract: This paper applies growth optimization with downside protection as a portfolio selection technique. The model is based on power-log utility functions that combine portfolio growth maximization with the behavioural tenets of prospect theory. We use three assets (a farm return index, a stock market index, and a Treasury bond index) to illustrate how effective this technique is compared to the standard model of growth maximization.

Keywords: Financial; Economics (search for similar items in EconPapers)
Pages: 19
Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aaea07:9724

DOI: 10.22004/ag.econ.9724

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