Delegated Portfolio Management Under Ambiguity Aversion
نویسندگان
چکیده
منابع مشابه
Delegated portfolio management under ambiguity aversion
We examine the problem of setting optimal incentives to a portfolio manager (to be employed by an investor through a contract) making an ambiguity-robust portfolio choice with respect to estimation errors in expected returns. We consider a one-period model with a set of risky assets (with multivariate normal returns) whose expected returns are estimated with uncertainty and a linear sharing rul...
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Under which condition does the set of desirable uncertain prospects expand when wealth increases? We show that the decreasing concavity (DC) of the utility function is necessary and sufficient in the −maxmin expected utility model. In the smooth ambiguity aversion model with the ambiguity valuation function , the DC of and of ◦ is necessary and sufficient. An alternative definition of d...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2391898