Delegated Portfolio Management - Optimal Portfolio Policies under Compensation, Capital Flow and Price Influence
type: CreativeWork
description: This work investigates the intertemporal portfolio optimization of professional portfolio managers. It analyzes whether the special conditions of delegation in which portfolio managers make investment decisions - compensation depending on assets under management, capital flow depending on past performance, and influence on prices - can explain the observable investment patterns of portfolio managers. It further evaluates optimal portfolio policies from the primary investor’s perspective.
abstract: This work investigates the intertemporal portfolio optimization of professional portfolio managers. It analyzes whether the special conditions of delegation in which portfolio managers make investment decisions - compensation depending on assets under management, capital flow depending on past performance, and influence on prices - can explain the observable investment patterns of portfolio managers. It further evaluates optimal portfolio policies from the primary investor’s perspective.
author: Kremer, Andreas
keywords: Preiseinfluss, Trinomialbaum, portfolio management, capital market, efficiency, markov chain approximation, trinomial tree model
date published: 2012-01-30
date modified: 2026-07-24T03:45:00Z
provider: Universität Passau
publisher: Networked Digital Library of Theses and Dissertations
type: WebPage
source organization: Universität Passau