New Research Tool: Mean Variance Optimizer with Hedonic Adjustment
The Mean Variance Optimizer with Hedonic Adjustment.xls workbook is now available. The workbook has two main worksheets:
1) Optimize - a traditional mean-variance optimizer (MVO). This spreadsheet calculates an "efficient frontier" of portfolios that serves as a starting point for the hedonic adjustment process.
2) Hedonic Adjustment - Adjusts MVO output to reflect the unequal "pain-to-pleasure" of losses versus gains, given an investor's degree of loss aversion at a specified target level of return. Applies the methodology outlined in The Hedonically Adjusted Efficient Frontier, using a total sample size of 10,000 outcomes.
By downloading Mean Variance Optimizer with Hedonic Adjustment.xls, you agree to abide by the following terms of use:
| TERMS OF USE |
| Copyright © 2007 Arthur Coyne. All rights reserved. This workbook may be used for non-commercial educational and research purposes only. This workbook, and any output derived therefrom, may not be copied, transferred, or redistributed in any form. THIS WORKBOOK IS PROVIDED "AS IS" AND ANY EXPRESS OR IMPLIED WARRANTIES, INCLUDING, BUT NOT LIMITED TO, THE IMPLIED WARRANTIES OF MERCHANTABILITY AND FITNESS FOR A PARTICULAR PURPOSE ARE DISCLAIMED. IN NO EVENT SHALL THE COPYRIGHT OWNER BE LIABLE FOR ANY DIRECT, INDIRECT, INCIDENTAL, SPECIAL, EXEMPLARY, OR CONSEQUENTIAL DAMAGES, HOWEVER CAUSED AND ON ANY THEORY OF LIABILITY, WHETHER IN CONTRACT, STRICT LIABILITY, OR TORT (INCLUDING NEGLIGENCE OR OTHERWISE) ARISING IN ANY WAY OUT OF THE USE OF THIS WORKBOOK, EVEN IF ADVISED OF THE POSSIBILITY OF SUCH DAMAGE. |
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