Tailoring asset allocation to the individual investor.

Asset allocation has typically used optimization algorithms to determine security allocations within a portfolio in order to obtain the best tradeoff between risk and return. These techniques, by using the variance as a measure of risk restrict the investor to one level of risk aversion (utility function) which has to fit all investors. Since individual investors have different levels of risk aversion, this paper proposes a heuristic portfolio selection technique that can match the risk measure to the specific level of risk aversion of the investor. The technique is tested with 34 years of monthly data to demonstrate its use.

Main Author: Nawrocki, David.
Language: English
Published: 1990
Online Access: http://ezproxy.villanova.edu/login?url=https://digital.library.villanova.edu/Item/vudl:178264