Management compensation and market timing under portfolio constraints

Management Compensation and Portfolio Choice under Leverage Constraints

We analyze the implications of short-selling and margin purchase constraints for management compensation and portfolio optimization under moral hazard. First, looking at the manager’s problem, we show that her active portfolio (that is, net of the benchmark) will not be independent of the benchmark design. We solve analytically for the benchmark composition that maximizes e¤ort expenditure. Ana...

Portfolio delegation under short - selling constraints ∗

In this paper we study delegated portfolio management when the manager’s ability to short-sell is restricted. Contrary to previous results, we show that under moral hazard, linear performance-adjusted contracts do provide portfolio managers with incentives to gather information. The risk-averse manager’s optimal effort is an increasing function of her share in the portfolio’s return. This resul...

On utility maximization under convex portfolio constraints

Growth-Optimal Portfolio Selection under CVaR Constraints

Online portfolio selection research has so far focused mainly on minimizing regret defined in terms of wealth growth. Practical financial decision making, however, is deeply concerned with both wealth and risk. We consider online learning of portfolios of stocks whose prices are governed by arbitrary (unknown) stationary and ergodic processes, where the goal is to maximize wealth while keeping ...

Fuzzy portfolio optimization model under real constraints

This paper discusses a multi-objective portfolio optimization problem for practical portfolio selection in fuzzy environment, in which the return rates and the turnover rates are characterized by fuzzy variables. Based on the possibility theory, fuzzy return and liquidity are quantified by possibilistic mean, and market risk and liquidity risk are measured by lower possibilistic semivariance. T...