RT Journal Article
SR Electronic
T1 Matching Investors with Suitable, Optimal and Investable Portfolios
JF The Journal of Wealth Management
FD Institutional Investor Journals
SP 53
OP 63
DO 10.3905/jwm.2008.701851
VO 10
IS 4
A1 Paul Bolster
A1 Sandy Warrick
YR 2008
UL https://pm-research.com/content/10/4/53.abstract
AB Suitability is a legal concept that refers to the propriety of the match between the individual and his or her portfolio. The authors develop a model of suitability using the Analytic Hierarchy Process (AHP) to create unique asset allocations for individual investors based on their personal attributes. They then compare the mean-variance performance of these suitable model portfolios with portfolios generated using mean-variance optimization. They find that minor alterations to the AHP model and optimization inputs minimize the distinction from a mean-variance efficient portfolio. Finally, they show that a wide range of model portfolios can be closely matched with a small selection of mutual funds.TOPICS: Portfolio construction, statistical methods, mutual funds/passive investing/indexing, performance measurement