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.File in questo prodotto:
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