Delegated portfolio management under ambiguity aversion
| dc.citation.epage | 195 | en_US |
| dc.citation.issueNumber | 2 | en_US |
| dc.citation.spage | 190 | en_US |
| dc.citation.volumeNumber | 42 | en_US |
| dc.contributor.author | Fabretti, A. | en_US |
| dc.contributor.author | Herzel, S. | en_US |
| dc.contributor.author | Pınar, M. Ç. | en_US |
| dc.date.accessioned | 2016-02-08T10:58:15Z | |
| dc.date.available | 2016-02-08T10:58:15Z | |
| dc.date.issued | 2014 | en_US |
| dc.department | Department of Economics | en_US |
| dc.department | Department of Industrial Engineering | en_US |
| dc.description.abstract | We 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.description.provenance | Made available in DSpace on 2016-02-08T10:58:15Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2014 | en |
| dc.identifier.doi | 10.1016/j.orl.2014.02.002 | en_US |
| dc.identifier.eissn | 1872-7468 | |
| dc.identifier.issn | 0167-6377 | |
| dc.identifier.uri | http://hdl.handle.net/11693/26320 | |
| dc.language.iso | English | en_US |
| dc.relation.isversionof | http://dx.doi.org/10.1016/j.orl.2014.02.002 | en_US |
| dc.source.title | Operations Research Letters | en_US |
| dc.subject | Ambiguity | en_US |
| dc.subject | Delegated portfolio management | en_US |
| dc.subject | Robust optimization | en_US |
| dc.subject | Financial data processing | en_US |
| dc.title | Delegated portfolio management under ambiguity aversion | en_US |
| dc.type | Article | en_US |
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