Delegated dynamic portfolio management under mean-variance preferences
type: Item
instance of: scholarly article
title: Delegated dynamic portfolio management under mean-variance preferences
zbMATH Open document ID: 1152.91492
DOI: 10.1155/JAMDS/2006/61895
author: Coskun Cetin
published in: Journal of Applied Mathematics and Decision Sciences
publication date: 2008-11-20T00:00:00Z
full work available at URL: https://eudml.org/doc/129504
review text: Summary: We consider a complete financial market with deterministic parameters where an investor and a fund manager have mean-variance preferences. The investor is allowed to borrow with risk-free rate and dynamically allocate his wealth in the fund provided his holdings stay nonnegative. The manager gets proportional fees instantaneously for her management services. We show that the manager can eliminate all her risk, at least in the constant coefficients case. Her own portfolio is a proportion of the amount the investor holds in the fund. The equilibrium optimal strategies are independent of the fee rate although the portfolio of each agent depends on it. An optimal fund weight is obtained by the numerical solution of a nonlinear equation and is not unique in general. In one-dimensional case, the investor's risk is inversely proportional to the weight of the risky asset in the fund. We also generalize the problem to the case of multiple managers and provide some examples.
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 5369136
MaRDI profile type: Publication
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description: scientific article; zbMATH DE number 5369136