Portfolio allocation in actively managed funds

Stefano Herzel and Marco Nicolosi

Economics Bulletin, 2017, vol. 37, issue 3, 1688-1693

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 different incentive schemes. We discuss an example of comparison of the efficient frontiers for the investor, in a model with mean reverting returns.

Keywords: Portfolio optimization; benchmark related incentives; efficient frontier (search for similar items in EconPapers)
JEL-codes: G1 (search for similar items in EconPapers)
Date: 2017-07-23
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://www.accessecon.com/Pubs/EB/2017/Volume37/EB-17-V37-I3-P154.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebl:ecbull:eb-17-00566

Access Statistics for this article

More articles in Economics Bulletin from AccessEcon
Bibliographic data for series maintained by John P. Conley ().