We examine the problem of setting optimal incentives for a portfolio manager hired by an investor who wants to induce ambiguity–robust portfolio choices with respect to estimation errors in expected returns. Adopting a worst-case max–min approach we obtain the optimal compensation in various cases where the investor and the manager, adopt or relinquish an ambiguity averse attitude. We also provide examples of applications to real market data.

Fabretti, A., Herzel, S., Pınar, M. (2014). Delegated portfolio management under ambiguity aversion. OPERATIONS RESEARCH LETTERS, 42(2), 190-195 [10.1016/j.orl.2014.02.002].

Delegated portfolio management under ambiguity aversion

FABRETTI, ANNALISA;HERZEL, STEFANO;
2014-01-01

Abstract

We examine the problem of setting optimal incentives for a portfolio manager hired by an investor who wants to induce ambiguity–robust portfolio choices with respect to estimation errors in expected returns. Adopting a worst-case max–min approach we obtain the optimal compensation in various cases where the investor and the manager, adopt or relinquish an ambiguity averse attitude. We also provide examples of applications to real market data.
2014
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; ambiguity; robust optimization
Fabretti, A., Herzel, S., Pınar, M. (2014). Delegated portfolio management under ambiguity aversion. OPERATIONS RESEARCH LETTERS, 42(2), 190-195 [10.1016/j.orl.2014.02.002].
Fabretti, A; Herzel, S; Pınar, M
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2108/91813
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