Browsing by Subject "Decentralized investment"

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    Robust decentralized investment games
    (2016-09) Çelik, Burak
    In the first part of the thesis, assuming a one-period economy with an investor and two portfolio managers who are experts in investing each in a risky asset (or an index) with first and second moment information available to all parties, we consider the problem of the principal in distributing her wealth optimally among the two managers as well as setting optimally the fees to the portfolio managers under the condition that the principal wants to safeguard against uncertainty in the expert forecasts of the managers regarding the mean return of assets. In the second part, simple games are devised to ensure a fair allocation of contracts between the two managers under the conditions assumed in the first part. Furthermore, the game concept is extended in which three or more managers are involved.