Optimal delegated portfolio management with background risk
Optimal delegated portfolio management with background risk
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DOI：
10.1016/j.jbankfin.2007.07.009
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发表时间：
2008-06-01
影响因子：
3.7
通讯作者：
Baptista, Alexandre M.
中科院分区：
文献类型：
--
作者：
Baptista, Alexandre M.
大多数投资者将其一小部分财富的管理权委托给投资组合经理，而投资经理的任务就是超越基准。然而，在一篇有影响力的论文中 [Roll, R., 1992。跟踪误差的均值/方差分析。 Journal of Portfolio Management 18, 13-22]表明，这些管理者常用的目标函数导致选择的投资组合从投资者的角度来看并不是最优的。在本文中，我们根据背景风险对投资者最优投资组合的影响来解释这些目标函数的使用。我们的主要贡献是提供条件，使投资者能够以最佳方式将其财富管理委托给投资组合经理。 (C) 2007 Elsevier B.V. 保留所有权利。
Most investors delegate the management of a fraction of their wealth to portfolio managers who are given the task of beating a benchmark. However, in an influential paper [Roll, R., 1992. A mean/variance analysis of tracking error. Journal of Portfolio Management 18, 13-22] shows that the objective functions commonly used by these managers lead to the selection of portfolios that are suboptimal from the perspective of investors. In this paper, we provide an explanation for the use of these objective functions based on the effect of background risk on investors' optimal portfolios. Our main contribution is to provide conditions under which investors can optimally delegate the management of their wealth to portfolio managers. (C) 2007 Elsevier B.V. All rights reserved.