Delegated portfolio management under ambiguity aversion

被引：6

作者：

Fabretti, Annalisa ^{[1
]}

Herzel, Stefano ^{[1
]}

Pinar, Mustafa C. ^{[2
]}

机构：

[1] Univ Roma Tor Vergata, Dept Econ & Finance, Rome, Italy

[2] Bilkent Univ, Dept Ind Engn, TR-06800 Ankara, Turkey

来源：

OPERATIONS RESEARCH LETTERS | 2014年 / 42卷 / 02期

关键词：

Delegated portfolio management; Ambiguity; Robust optimization; ROBUST; SELECTION; OPTIMIZATION; SENSITIVITY;

D O I：

10.1016/j.orl.2014.02.002

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

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. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：190 / 195

页数：6

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