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Original scientific paper
https://doi.org/10.17535/crorr.2015.0001

Estimating investor preferences towards portfolio return distribution in investment funds

Margareta Gardijan   ORCID icon orcid.org/0000-0001-5390-057X ; Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia
Tihana Škrinjarić ; Faculty of Economics and Business, University of Zagreb, Zagreb, Croatia

Fulltext: english, pdf (351 KB) pages 1-16 downloads: 984* cite
APA 6th Edition
Gardijan, M. & Škrinjarić, T. (2015). Estimating investor preferences towards portfolio return distribution in investment funds. Croatian Operational Research Review, 6 (1), 1-16. https://doi.org/10.17535/crorr.2015.0001
MLA 8th Edition
Gardijan, Margareta and Tihana Škrinjarić. "Estimating investor preferences towards portfolio return distribution in investment funds." Croatian Operational Research Review, vol. 6, no. 1, 2015, pp. 1-16. https://doi.org/10.17535/crorr.2015.0001. Accessed 20 Sep. 2021.
Chicago 17th Edition
Gardijan, Margareta and Tihana Škrinjarić. "Estimating investor preferences towards portfolio return distribution in investment funds." Croatian Operational Research Review 6, no. 1 (2015): 1-16. https://doi.org/10.17535/crorr.2015.0001
Harvard
Gardijan, M., and Škrinjarić, T. (2015). 'Estimating investor preferences towards portfolio return distribution in investment funds', Croatian Operational Research Review, 6(1), pp. 1-16. https://doi.org/10.17535/crorr.2015.0001
Vancouver
Gardijan M, Škrinjarić T. Estimating investor preferences towards portfolio return distribution in investment funds. Croatian Operational Research Review [Internet]. 2015 [cited 2021 September 20];6(1):1-16. https://doi.org/10.17535/crorr.2015.0001
IEEE
M. Gardijan and T. Škrinjarić, "Estimating investor preferences towards portfolio return distribution in investment funds", Croatian Operational Research Review, vol.6, no. 1, pp. 1-16, 2015. [Online]. https://doi.org/10.17535/crorr.2015.0001

Abstracts
Recent research in the field of investor preference has emphasised the need to go beyond just simply analyzing the first two moments of a portfolio return distribution used in a MV (mean-variance) paradigm. The suggestion is to observe an investor's utility function as an nth order Taylor approximation. In such terms, the assumption is that investors prefer greater values of odd and smaller values of even moments. In order to investigate the preferences of Croatian investment funds, an analysis of the moments of their return distribution is conducted. The sample contains data on monthly returns of 30 investment funds in Croatia for the period from January 1999 to May 2014. Using the theoretical utility functions (DARA, CARA, CRRA), we compare changes in their preferences when higher moments are included. Moreover, we investigate an extension of the CAPM model in order to find out whether including higher moments can explain better the relationship between the awards and risk premium, and whether we can apply these findings to estimate preferences of Croatian institutional investors. The results indicate that Croatian institutional investors do not seek compensation for bearing greater market risk.

Keywords
higher distribution moments; investor preferences; higher moments CAPM; Croatian investment funds

Hrčak ID: 138568

URI
https://hrcak.srce.hr/138568

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