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Contribution Details

Type Working Paper
Scope Discipline-based scholarship
Title Theory matters for financial advice!
Organization Unit
  • János Mayer
  • Thorsten Hens
  • English
Institution University of Zurich
Series Name NCCR FINRISK Working Paper
Number 866
Number of Pages 25
Date 2013
Abstract Text We show that the optimal asset allocation for an investor depends crucially on the theory with which the investor is modeled. For the same market data and the same client data different theories lead to different portfolios. The market data we consider is standard asset allocation data. The client data is determined by a standard risk profiling question and the theories we apply are mean-variance analysis, expected utility analysis and cumulative prospect theory.
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Other Identification Number merlin-id:8770
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