Data di Pubblicazione:
2017
Abstract:
We consider the problem of an investor who allocates his wealth among
a risky asset and a managed portfolio. We obtain the optimal strategies of the fund
managers for two diāµerent incentive schemes. We discuss an example of comparison
of the efficient frontiers for the investor, in a model with mean reverting returns.
a risky asset and a managed portfolio. We obtain the optimal strategies of the fund
managers for two diāµerent incentive schemes. We discuss an example of comparison
of the efficient frontiers for the investor, in a model with mean reverting returns.
Tipologia CRIS:
1.1 Articolo in rivista
Keywords:
Portfolio optimization; benchmark related incentives; efficient frontier
Elenco autori:
Herzel, Stefano; Nicolosi, Marco
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