We consider the problem of an investor who allocates his wealth among a risky asset and a managed portfolio. We obtain the optimal strategies of the fund managers for two di↵erent incentive schemes. We discuss an example of comparison of the efficient frontiers for the investor, in a model with mean reverting returns.
Portfolio allocation in actively managed funds
NICOLOSI, MARCO
2017-01-01
Abstract
We consider the problem of an investor who allocates his wealth among a risky asset and a managed portfolio. We obtain the optimal strategies of the fund managers for two di↵erent incentive schemes. We discuss an example of comparison of the efficient frontiers for the investor, in a model with mean reverting returns.File in questo prodotto:
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