Delivering Left-Skewed Portfolio Payoff Distributions in the Presence of Transaction Costs

Delivering Left-Skewed Portfolio Payoff Distributions in the Presence of Transaction Costs

For pension-savers, a low payoff is a financial disaster. Such investors will most likely prefer left-skewed payoff distributions over right-skewed payoff distributions. We explore how such distributions can be delivered. Cautious-relaxed utility measures are cautious in ensuring that payoffs don’t...

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Bibliographic Details
Main Author: Jacek B Krawczyk
Format: Article
Language:English
Published: MDPI AG 2015-08-01
Series:Risks
Subjects:
portfolio management
payoff distributions
pension funds
transaction costs
Online Access:http://www.mdpi.com/2227-9091/3/3/318

Internet

http://www.mdpi.com/2227-9091/3/3/318

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