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• W3162582912 abstract "Portfolio managers often evaluate performance relative to benchmark, usually taken to be the Standard & Poor 500 stock index fund. This relative portfolio wealth is defined as the absolute portfolio wealth divided by wealth from investing in the benchmark (including reinvested dividends). The classic Merton problem for portfolio optimization considers absolute portfolio wealth. We combine absolute and relative wealth in our new utility function. We also consider the case of multiple benchmarks. To both absolute and relative wealth, we apply power utility functions, possibly with different exponents. We obtain an explicit solution and compare it to the classic Merton solution. We apply our results to the Capital Asset Pricing Model setting." @default.
• W3162582912 created "2021-05-24" @default.
• W3162582912 creator A5035530377 @default.
• W3162582912 date "2021-05-17" @default.
• W3162582912 modified "2023-09-27" @default.
• W3162582912 title "Optimal Portfolio with Power Utility of Absolute and Relative Wealth" @default.
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• W3162582912 hasPublicationYear "2021" @default.
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