{"id":"https://openalex.org/W2094091672","doi":"https://doi.org/10.2469/faj.v60.n5.2655","title":"Asset Allocation without Unobservable Parameters","display_name":"Asset Allocation without Unobservable Parameters","publication_year":2004,"publication_date":"2004-09-01","ids":{"openalex":"https://openalex.org/W2094091672","doi":"https://doi.org/10.2469/faj.v60.n5.2655","mag":"2094091672"},"language":"en","primary_location":{"id":"doi:10.2469/faj.v60.n5.2655","doi":"https://doi.org/10.2469/faj.v60.n5.2655","is_oa":false,"landing_page_url":"https://doi.org/10.2469/faj.v60.n5.2655","pdf_url":null,"source":{"id":"https://openalex.org/S162525099","display_name":"Financial Analysts Journal","issn_l":"0015-198X","issn":["0015-198X","1938-3312"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Financial Analysts Journal","raw_type":"journal-article"},"volume":null,"type":"article","is_traditional":true,"indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=614508","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5036110021","display_name":"Michael Jay Stutzer","orcid":"https://orcid.org/0000-0001-7363-4010","observed_orcids":["https://orcid.org/0000-0001-7363-4010"]},"institutions":[{"id":"https://openalex.org/I188538660","display_name":"University of Colorado Boulder","ror":"https://ror.org/02ttsq026","country_code":"US","type":"education","lineage":["https://openalex.org/I188538660"]},{"id":"https://openalex.org/I2802236040","display_name":"University of Colorado System","ror":"https://ror.org/00jc20583","country_code":"US","type":"education","lineage":["https://openalex.org/I2802236040"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Michael Stutzer","raw_affiliation_strings":["Michael Stutzer is director of the Burridge Center for Securities Analysis and Valuation at the University of Colorado, Boulder"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Michael Stutzer is director of the Burridge Center for Securities Analysis and Valuation at the University of Colorado, Boulder","institution_ids":["https://openalex.org/I188538660","https://openalex.org/I2802236040"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5036110021"],"corresponding_institution_ids":["https://openalex.org/I188538660","https://openalex.org/I2802236040"],"apc_list":null,"apc_paid":null,"fwci":1.5191,"has_fulltext":false,"cited_by_count":25,"citation_normalized_percentile":{"value":0.84195717,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":88,"max":97},"biblio":{"volume":"60","issue":"5","first_page":"38","last_page":"51"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.8682000041007996,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.8682000041007996,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10047","display_name":"Financial Markets and Investment Strategies","score":0.052400000393390656,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10517","display_name":"Financial Literacy, Pension, Retirement Analysis","score":0.04280000180006027,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/asset-allocation","display_name":"asset allocation","score":0.9980000257492065},{"id":"https://openalex.org/keywords/expected-utility-maximization","display_name":"expected utility maximization","score":0.921999990940094},{"id":"https://openalex.org/keywords/risk-aversion","display_name":"risk aversion","score":0.7509999871253967},{"id":"https://openalex.org/keywords/long-term-investors","display_name":"long-term investors","score":0.5709999799728394},{"id":"https://openalex.org/keywords/benchmark-tracking","display_name":"benchmark tracking","score":0.6000000238418579},{"id":"https://openalex.org/keywords/financial-advice","display_name":"financial advice","score":0.3540000021457672}],"concepts":[{"id":"https://openalex.org/C2780695315","wikidata":"https://www.wikidata.org/wiki/Q3799040","display_name":"Unobservable","level":2,"score":0.8396570682525635},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.8243277072906494},{"id":"https://openalex.org/C139819358","wikidata":"https://www.wikidata.org/wiki/Q462748","display_name":"Asset allocation","level":3,"score":0.65946364402771},{"id":"https://openalex.org/C2985793214","wikidata":"https://www.wikidata.org/wiki/Q3274096","display_name":"Utility maximization","level":2,"score":0.6410801410675049},{"id":"https://openalex.org/C2776330181","wikidata":"https://www.wikidata.org/wiki/Q18358244","display_name":"Maximization","level":2,"score":0.6099866628646851},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5932109355926514},{"id":"https://openalex.org/C129915516","wikidata":"https://www.wikidata.org/wiki/Q17083550","display_name":"Risk aversion (psychology)","level":3,"score":0.5519367456436157},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.5380188226699829},{"id":"https://openalex.org/C76178495","wikidata":"https://www.wikidata.org/wiki/Q4808784","display_name":"Asset (computer security)","level":2,"score":0.5297278761863708},{"id":"https://openalex.org/C162118730","wikidata":"https://www.wikidata.org/wiki/Q1128453","display_name":"Actuarial science","level":1,"score":0.4930269420146942},{"id":"https://openalex.org/C185798385","wikidata":"https://www.wikidata.org/wiki/Q1161707","display_name":"Benchmark (surveying)","level":2,"score":0.4867570400238037},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.4587649703025818},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.4145643711090088},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.38754206895828247},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3027501106262207},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.23364809155464172},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.13538628816604614},{"id":"https://openalex.org/C13280743","wikidata":"https://www.wikidata.org/wiki/Q131089","display_name":"Geodesy","level":1,"score":0.0},{"id":"https://openalex.org/C38652104","wikidata":"https://www.wikidata.org/wiki/Q3510521","display_name":"Computer security","level":1,"score":0.0},{"id":"https://openalex.org/C205649164","wikidata":"https://www.wikidata.org/wiki/Q1071","display_name":"Geography","level":0,"score":0.0}],"mesh":[],"locations_count":3,"locations":[{"id":"doi:10.2469/faj.v60.n5.2655","doi":"https://doi.org/10.2469/faj.v60.n5.2655","is_oa":false,"landing_page_url":"https://doi.org/10.2469/faj.v60.n5.2655","pdf_url":null,"source":{"id":"https://openalex.org/S162525099","display_name":"Financial Analysts Journal","issn_l":"0015-198X","issn":["0015-198X","1938-3312"],"is_oa":false,"is_in_doaj":false,"is_core":true,"listed_in":["abdc-a","anvur-class-a","anvur-scientific","cwts-core","fnege-2","jufo-1","norway-1","poland-100","russia-white-list-1","vabb-shw"],"host_organization":"https://openalex.org/P4310320547","host_organization_name":"Taylor & Francis","host_organization_lineage":["https://openalex.org/P4310320547","https://openalex.org/P4310320449"],"host_organization_lineage_names":["Taylor & Francis","Informa"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Financial Analysts Journal","raw_type":"journal-article"},{"id":"mag:3121846517","doi":null,"is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=614508","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},{"id":"pmh:oai:RePEc:taf:ufajxx:v:60:y:2004:i:5:p:38-51","doi":null,"is_oa":false,"landing_page_url":"http://hdl.handle.net/10.2469/faj.v60.n5.2655","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"mag:3121846517","doi":null,"is_oa":true,"landing_page_url":"https://papers.ssrn.com/sol3/papers.cfm?abstract_id=614508","pdf_url":null,"source":{"id":"https://openalex.org/S4210172589","display_name":"SSRN Electronic Journal","issn_l":"1556-5068","issn":["1556-5068"],"is_oa":true,"is_in_doaj":false,"is_core":false,"listed_in":[],"host_organization":"https://openalex.org/I1318003438","host_organization_name":"RELX Group (Netherlands)","host_organization_lineage":["https://openalex.org/I1318003438"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"SSRN Electronic Journal","raw_type":null},"sustainable_development_goals":[],"study_designs":[],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":33,"referenced_works":["https://openalex.org/W102194251","https://openalex.org/W1517144227","https://openalex.org/W1556730504","https://openalex.org/W1569235088","https://openalex.org/W1591741498","https://openalex.org/W1807538552","https://openalex.org/W1904457504","https://openalex.org/W1958561913","https://openalex.org/W1969363235","https://openalex.org/W1974196617","https://openalex.org/W1982409864","https://openalex.org/W1989005086","https://openalex.org/W2000415208","https://openalex.org/W2001202328","https://openalex.org/W2043577855","https://openalex.org/W2052556080","https://openalex.org/W2054141803","https://openalex.org/W2068745433","https://openalex.org/W2079447760","https://openalex.org/W2084235698","https://openalex.org/W2120802739","https://openalex.org/W2137296414","https://openalex.org/W2143690586","https://openalex.org/W2144846366","https://openalex.org/W2166219456","https://openalex.org/W2273735483","https://openalex.org/W2315306889","https://openalex.org/W2569616450","https://openalex.org/W3022853033","https://openalex.org/W3121175796","https://openalex.org/W3126489641","https://openalex.org/W4235007239","https://openalex.org/W4241627017"],"related_works":["https://openalex.org/W1565374174","https://openalex.org/W7097535106","https://openalex.org/W3121580365","https://openalex.org/W171695182","https://openalex.org/W1500678884","https://openalex.org/W2282553578","https://openalex.org/W4312731886","https://openalex.org/W7099016850","https://openalex.org/W2603279686","https://openalex.org/W4311704128"],"abstract_inverted_index":{"Some":[0],"asset":[1,60],"allocation":[2,61],"advice":[3,62],"for":[4,50],"long-term":[5,76],"investors":[6],"is":[7,36,44,63,86,130],"based":[8,64],"on":[9,65],"maximization":[10,135],"of":[11,21,33,41,69,72,80,99,136,147],"expected":[12,42,100,137],"utility.":[13,101,138],"Most":[14],"commonly":[15],"used":[16],"investor":[17],"utilities":[18],"require":[19],"measurement":[20],"a":[22,73],"risk-aversion":[23,128],"parameter":[24,35,129],"appropriate":[25],"to":[26,52,57,88,114],"the":[27,67,115,122,126,148],"particular":[28,74],"investor.":[29],"But":[30],"accurate":[31],"assessment":[32],"this":[34],"problematic":[37],"at":[38],"best.":[39],"Maximization":[40],"utility":[43],"thus":[45],"not":[46,131,142],"only":[47],"conceptually":[48],"difficult":[49,56],"clients":[51],"understand":[53],"but":[54,92],"also":[55,132],"implement.":[58],"Other":[59],"minimizing":[66],"probability":[68],"falling":[70],"short":[71],"investor's":[75],"return":[77],"target":[78,116],"or":[79],"an":[81],"investable":[82],"benchmark.":[83],"This":[84],"approach":[85],"easier":[87],"explain":[89],"and":[90,119],"implement,":[91],"it":[93],"has":[94],"been":[95],"criticized":[96],"by":[97,109,134,145],"advocates":[98,146],"These":[102],"seemingly":[103],"disparate":[104],"criteria":[105],"can":[106],"be":[107,143],"reconciled":[108],"measuring":[110],"portfolio":[111],"returns":[112],"relative":[113],"(or":[117],"benchmark)":[118],"then":[120],"eliminating":[121],"usual":[123,149],"assumption":[124],"that":[125],"utility's":[127],"determined":[133],"Financial":[139],"advisors":[140],"should":[141],"persuaded":[144],"expected-utility":[150],"approach.":[151]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2018,"cited_by_count":1},{"year":2016,"cited_by_count":2},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":3}],"updated_date":"2026-10-14T16:39:01.820549","created_date":"2016-06-24T00:00:00"}
