We consider the problem of how to establish compensation for a portfolio man- ager who is required to restrict the investment set, for example, because of socially responsible screening. This is a problem of Delegated Portfolio Management where the reduction of investment opportunities to the subset of sustainable assets involves a loss in expected earnings for the portfolio manager, compensated by the investor through an extra bonus on the realized return. Under simple assumptions on the investor, manager and market, we compute the optimal bonus as a function of the managers risk aversion and expertise, and of the impact of portfolio restriction on the mean-variance e cient frontier.

Fabretti, A., Herzel, S. (2012). Delegated portfolio management with socially responsible investment constraints. EUROPEAN JOURNAL OF FINANCE, 18(3-4), 293-309 [10.1080/1351847X.2011.579746].

Delegated portfolio management with socially responsible investment constraints

FABRETTI, ANNALISA;HERZEL, STEFANO
2012-01-01

Abstract

We consider the problem of how to establish compensation for a portfolio man- ager who is required to restrict the investment set, for example, because of socially responsible screening. This is a problem of Delegated Portfolio Management where the reduction of investment opportunities to the subset of sustainable assets involves a loss in expected earnings for the portfolio manager, compensated by the investor through an extra bonus on the realized return. Under simple assumptions on the investor, manager and market, we compute the optimal bonus as a function of the managers risk aversion and expertise, and of the impact of portfolio restriction on the mean-variance e cient frontier.
2012
Pubblicato
Rilevanza internazionale
Articolo
Esperti anonimi
Settore SECS-S/06 - METODI MATEMATICI DELL'ECONOMIA E DELLE SCIENZE ATTUARIALI E FINANZIARIE
English
Con Impact Factor ISI
delegated portfolio management; socially responsible investment
Fabretti, A., Herzel, S. (2012). Delegated portfolio management with socially responsible investment constraints. EUROPEAN JOURNAL OF FINANCE, 18(3-4), 293-309 [10.1080/1351847X.2011.579746].
Fabretti, A; Herzel, S
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/14355
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