Werker, B.J.M.

portfolio return style analysis style investor analysis table currency mean-variance exposure asset performance position factor utility stock function weight result benchmark index interest rate spread holding risk aversion regression contract indices aversion constraint positivity constraints power utility function portfolio holdings measure power jensen hedge portfolio performance management section bene...t mean-variance case dierent growth ecient benchmark assets value factor loadings report column jensen measure utility function portfolio weights nontraded positivity vector manager g 5 countries vanguard journal sharpe ratio interest jensen regression spread currency risk estimate fund managers style exposures factor exposures utility functions outperformance fund manager power utility investors research sharpe coecient templeton market stock portfolios power-utility investors combination