Show simple item record

dc.contributor.authorFabretti, A.en_US
dc.contributor.authorHerzel, S.en_US
dc.contributor.authorPınar, M. Ç.en_US
dc.date.accessioned2016-02-08T10:58:15Z
dc.date.available2016-02-08T10:58:15Z
dc.date.issued2014en_US
dc.identifier.issn0167-6377
dc.identifier.urihttp://hdl.handle.net/11693/26320
dc.description.abstractWe examine the problem of setting optimal incentives for a portfolio manager hired by an investor who wants to induce ambiguity-robust portfolio choices with respect to estimation errors in expected returns. Adopting a worst-case max-min approach we obtain the optimal compensation in various cases where the investor and the manager, adopt or relinquish an ambiguity averse attitude. We also provide examples of applications to real market data.en_US
dc.language.isoEnglishen_US
dc.source.titleOperations Research Lettersen_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.orl.2014.02.002en_US
dc.subjectAmbiguityen_US
dc.subjectDelegated portfolio managementen_US
dc.subjectRobust optimizationen_US
dc.subjectFinancial data processingen_US
dc.titleDelegated portfolio management under ambiguity aversionen_US
dc.typeArticleen_US
dc.departmentDepartment of Economicsen_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.citation.spage190en_US
dc.citation.epage195en_US
dc.citation.volumeNumber42en_US
dc.citation.issueNumber2en_US
dc.identifier.doi10.1016/j.orl.2014.02.002en_US
dc.identifier.eissn1872-7468


Files in this item

Thumbnail

This item appears in the following Collection(s)

Show simple item record