Portfolio problems based on returns consistent with the investor's preferences

摘要

In this paper, we deal the portfolio selection problem by the point of view of non-satiable investors which could be: risk-averse; risk seeking; neither risk-averse nor risk seeking. In particular, we first identify different return definitions coherently with the investors preferences that use the conditional expected value between the wealth valued at different times. Secondly, we study a consistent estimator of the conditional expected value between random variables. Therefore we propose to use two alternative performance measures applied to these new return definitions consistent with different investors' preferences. Finally, we propose an empirical comparison on the U.S. stock market among the ex-post wealth obtained by optimizing static and dynamic performance measures by the point of view of different investors' typologies.