Hagströmer, Björn; Anderson, Richard G.; Binner, Jane M. - 2008 - Rev.
results hold in and out of sample, and the performance improve-
ments are given in terms of utility as well as certainty … in their entirety,
and the choice of utility function is completely exible. In this paper we assess
the performance of … performance difierence
between MV portfolios and utility maximized portfolios (using power utility)
was negligible, the less …