Delegated portfolio management and optimal allocation of portfolio managers

Michael Christensen, Michael Vangsgaard Christensen and Ken Gamskjaer

Applied Economics, 2015, vol. 47, issue 21, 2142-2153

Abstract: In this article, we investigate whether the application of the mean-variance framework on portfolio manager allocation offers any out-of-sample benefits compared to a naﶥ strategy of equal weighting. Based on an exclusive data-set of high-net-worth (HNW) investors, we utilize a wide variety of methodologies to estimate the input parameters including exponentially weighted moving average (EWMA), generalized autoregressive conditional heteroscedasticity (GARCH) and Bayes-Stein shrinkage estimation. We apply nine different mean-variance models, but find that none of these present any consistent benefit over a naﶥ strategy of equal weighting.

Date: 2015
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DOI: 10.1080/00036846.2015.1005811

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