Portfolio Optimization Using the Atkinson Index
(2019) NEKN01 20191Department of Economics
- Abstract
- Traditional mean-variance optimization of portfolios has received much criticism due to its inability to account for higher order moments and non-quadratic utility. In this thesis, the topic of portfolio optimization is studied using the Atkinson index with CRRA utility. We construct Atkinson-efficient portfolios using computer-generated data in Monte Carlo simulations, as well as using financial asset returns data of assets taken from American stock exchanges. The results show that when normality holds, there are no benefits to the usage of the Atkinson. Under non-normality, however, there are advantages to using the Atkinson instead of the Sharpe ratio. These advantages are great enough for researchers to disregard its greater complexity.
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8981994
- author
- Billgert, Nils LU
- supervisor
- organization
- course
- NEKN01 20191
- year
- 2019
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- atkinson index, performance measure, portfolio optimization
- language
- English
- id
- 8981994
- date added to LUP
- 2019-08-08 10:33:11
- date last changed
- 2019-08-08 10:33:11
@misc{8981994, abstract = {{Traditional mean-variance optimization of portfolios has received much criticism due to its inability to account for higher order moments and non-quadratic utility. In this thesis, the topic of portfolio optimization is studied using the Atkinson index with CRRA utility. We construct Atkinson-efficient portfolios using computer-generated data in Monte Carlo simulations, as well as using financial asset returns data of assets taken from American stock exchanges. The results show that when normality holds, there are no benefits to the usage of the Atkinson. Under non-normality, however, there are advantages to using the Atkinson instead of the Sharpe ratio. These advantages are great enough for researchers to disregard its greater complexity.}}, author = {{Billgert, Nils}}, language = {{eng}}, note = {{Student Paper}}, title = {{Portfolio Optimization Using the Atkinson Index}}, year = {{2019}}, }