Delegated Portfolio Management - Optimal Portfolio Policies under Compensation, Capital Flow and Price Influence
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.
Preiseinfluss, Trinomialbaum, portfolio management, capital market, efficiency, markov chain approximation, trinomial tree model
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