This paper analyzes the asset pricing implications of commonly-used portfolio management contracts linking the … compensation of fund managers to the excess return of the managed portfolio over a benchmark portfolio. The contract parameters …

The Markowitz mean-variance optimizing framework has served as the basis for modern portfolio theory for more than 50 … years. However, efforts to translate this theoretical foundation into a viable portfolio construction algorithm have been … through the addition of a penalty proportional to the sum of the absolute values of the portfolio weights (l1 penalty). This …

-taking behavior. We develop a general model of delegated portfolio management, with the feature that the agent can control the … riskiness of the portfolio. This represents a departure from the existing literature on agency theory in that moral hazard is … develop a general model of delegated portfolio management, with the feature that the agent can control the riskiness of the …

assets. Second, we determine an investor ’s optimal portfolio for this model of returns. Third, we show how one can estimate … the model using the method of moments. Finally, we illustrate our portfolio optimization and estimation procedure by … analysing portfolio choice across a riskless asset, the US equity index, and five international indexes. Our main finding is …

consumption and terminal wealth, and face portfolio constraints. The exact local comparative statistics and approximate but … analytical expression for the portfolio policy and asset prices are obtained by developing a method based on perturbation … characterize explicitly the consumption and portfolio policies and also the properties of asset returns. We find that the …

We use portfolio theory to quantify the efficiency of state-level sectoral patterns of production in the United States …

residential real estate when about 30% of their investment portfolio is residential real estate. In addition to this … real estate is too low in order to justify inclusion in the investment portfolio. This implies that if agents invest a …

In this Paper we develop a model of intertemporal portfolio choice where an investor accounts explicitly for the … for all stocks being considered for the portfolio, and also for different levels of ambiguity for the marginal … distribution of returns for any subset of these stocks. We then use this framework to derive in closed-form the optimal portfolio …