Abstract
In this paper we construct and compare optimal global portfolios of bank stocks over four overlapping periods between 1973 and 2001 using conventional modern portfolio theory assumptions and loss-averse portfolio assumptions which are constructed to minimise the risk of a return less than zero. We investigate changes to the optimal portfolios when risk criteria is varied.
| Original language | English |
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| Title of host publication | Proceedings - Annual Meeting of the Decision Sciences Institute |
| Editors | T. Smunt |
| Pages | 765-769 |
| Number of pages | 5 |
| Publication status | Published - 2002 |
| Event | Decision Sciences Institute 2002 Proceedings - San Diego, CA, United States Duration: 23 Nov 2002 → 26 Nov 2002 |
Other
| Other | Decision Sciences Institute 2002 Proceedings |
|---|---|
| Country/Territory | United States |
| City | San Diego, CA |
| Period | 23/11/02 → 26/11/02 |