Household investment performance evaluation on the example of mutual funds

Radosław Pietrzyk


The main purpose of this article is a theoretical discussion about the performance evaluation from the point of view of households, because the presented method takes risk aversion into account. House- holds, characterized by an increasing and concave utility function, expect a non-linear increase of the expected rate of return in exchange for the extra risk taken. It is important to find a performance measure that takes into account household indifference curves. For example, it might be the Generalized Sharpe Ratio or a measure modifying the traditional beta of CAPM so that it incorporates investor's utility function. This paper presents possibilities of its applications by the example of Polish mutual funds.

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Data publikacji: 2015-05-23 19:36:31
Data złożenia artykułu: 2015-05-23 11:59:39


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