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Portfolio Selection under the Condition of Value Preservation

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  • Hellwig, Klaus

Abstract

Besides risk and return, investors often are interested in choosing a portfolio such that the portfolio value is preserved. However, the traditional utility-maximizing approach generally fails to provide such a solution. As a different approach value preservation is formulated as an equilibrium problem. Following this approach it is shown that under reasonable assumptions a value preserving solution exists. The solution only depends on the set of feasible portfolio decisions. Contrary to this, the Bernoulli principle in addition requires a utility function that is independent from this set. Copyright 1996 by Kluwer Academic Publishers

Suggested Citation

  • Hellwig, Klaus, 1996. "Portfolio Selection under the Condition of Value Preservation," Review of Quantitative Finance and Accounting, Springer, vol. 7(3), pages 299-305, November.
    • Handle: RePEc:kap:rqfnac:v:7:y:1996:i:3:p:299-305
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    Cited by:

    1. Hellwig, Klaus, 2004. "Portfolio selection subject to growth objectives," Journal of Economic Dynamics and Control, Elsevier, vol. 28(10), pages 2119-2128, September.
    2. Hellwig, K. & Speckbacher, G. & Wentges, P., 2000. "Utility maximization under capital growth constraints," Journal of Mathematical Economics, Elsevier, vol. 33(1), pages 1-12, February.
    3. Hellwig, Klaus, 2007. "The creation of wealth," Finance Research Letters, Elsevier, vol. 4(3), pages 172-178, September.
    4. Hellwig, Klaus, 1998. "Creating value," International Review of Economics & Finance, Elsevier, vol. 7(2), pages 141-147.

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