RT Journal Article SR Electronic T1 The Utility of Wealth in an Upper- and Lower-Partial
Moment Fabric JF The Journal of Investing FD Institutional Investor Journals SP 58 OP 85 DO 10.3905/joi.2011.20.2.058 VO 20 IS 2 A1 Fred Viole A1 David Nawrocki YR 2011 UL https://pm-research.com/content/20/2/58.abstract AB Utility should be a function consisting of two autonomous sections both positive and negative, that needs to be configurable to the individuals it is designed to represent. This is achieved through the target by which individuals measure their investments against as well as their individual interpretations of target variances. Historical utility functions tend to generalize these distinctions in order to apply them to a broader scope of the population and project a descriptive theory. Instead of the observed fitting the function, we have the function fit the observed in an effort to combine descriptive and normative techniques.TOPICS: Statistical methods, portfolio construction, risk management