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The compensation portfolio

Abstract

We successfully show that it is possible to optimize both for risk and for asset allocation without compromising the optimization of individual goals by introducing the novel concept of a compensation portfolio. Therefore, we solve for the global vs. local optimization paradox by bridging Modern Portfolio Theory (MPT) and Behavioral Portfolio Theory (BPT).

article Article
date_range 2018
language English
link Link of the paper
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Featured Keywords

Optimization
Goal-based investing
Compensation portfolio
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