Impact of portfolio strategies based on different return definitions

In this paper we identify alternative definitions of return according to the preferences of different non-satiable investors: risk-averse, risk seeking, neither risk-averse and nor risk seeking. In particular, using a new estimator of the conditional expected value, we compare the wealth sample path obtained, taking into account the different investors’ preferences. In addition, we examine the ex-post wealth obtained maximazing a performance measure applied to different return definitions.