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The Journal of Wealth Management

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Primary Article

The Optimal Choice of a Benchmark Portfolio

Michael Christensen
The Journal of Wealth Management Summer 1999, 2 (1) 49-53; DOI: https://doi.org/10.3905/jwm.1999.320350
Michael Christensen
Has a doctorate from the University of Southampton, U.K., and is an associate professor of finance at the Aarhus School of Business in Denmark. He has worked as a financial analyst and financial manager at financial institutions and corporations
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Abstract

The choice of a benchmark portfolio is a particularly important issue for individual investors who must worry about taxes. The traditional assumption that an investor can move to the benchmark portfolio in a cost-free fashion disappears and gives rise to additional issues. The author argues that the portfolio in place at the beginning of the investment period may well be the most suitable benchmark portfolio. Choosing the ex ante portfolio as the benchmark, the investor will find that this benchmark is simple and easy to understand and that it cannot be manipulated by the portfolio manager. Furthermore, it should be consistent with his or her investment strategy and risk aversion, provided the current portfolio represents an acceptable trade-off point between risk and return.

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The Journal of Wealth Management
Vol. 2, Issue 1
Summer 1999
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The Optimal Choice of a Benchmark Portfolio
Michael Christensen
The Journal of Wealth Management Apr 1999, 2 (1) 49-53; DOI: 10.3905/jwm.1999.320350

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The Optimal Choice of a Benchmark Portfolio
Michael Christensen
The Journal of Wealth Management Apr 1999, 2 (1) 49-53; DOI: 10.3905/jwm.1999.320350
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