Correspondence: Michael Tucker, Dolan School of Business, Fairfield University, Fairfield, CT 06824, USA. Tel: +1 203 254 4000 ext 2833; Fax: +1 203 254 4105; E-mail: mtucker@mail.fairfield.edu

¹holds a PhD in Economics from The University of Virginia and is an associate professor of finance at Fairfield University's Dolan School of Business. He has published articles on portfolio selection in scholarly journals such as The American Economic Review, Journal of Business, Finance and Accounting, and The Mid-Atlantic Journal of Business.

²holds a DBA degree in Finance from Boston University and is a professor of finance at Fairfield University's Dolan School of Business. He is Director of the Business Education, Simulation and Trading Classroom and serves as co-director of the Center for Microfinance Advising and Consulting (CMAC). He has published articles on social security and asset allocation in Journal of Financial Services Researchand Financial Services Review, as well as articles on other finance topics in Journal of Business, Finance and Accounting, Financial Review, Journal of Multinational Finance, Journal of Futures Markets, International Journal of Finance, The Journal of Microfinance, and Ecological Economics.

Received 19 October 2007.

Abstract

We examine the ex ante utility of a portfolio from a universe of exchange-traded funds (ETFs) selected according to three criteria in order to see if asset allocation is as relevant as BSB found. Ex ante utility is maximised for stock selector portfolio based on mean variance efficiency. Investors would be willing to surrender significant wealth to migrate from both an asset allocation and an equally weighted portfolio to the stock selector portfolio.