Similar Search Results

Delegated Portfolio Management, Benchmarking, and the Effects on Financial Markets

Igan, Deniz - 2015

We analyze the implications of linking the compensation of fund managers to the return of their portfolio relative to that of a benchmark - a common solution to the agency problem in delegated portfolio management. In the presence of such relative-performance-based objectives, investors have...

Persistent link: https://www.econbiz.de/10013013820

Benchmarking Hedge Funds : The Choice of the Factor Model

Ammann, Manuel - 2013

There is still no consensus regarding a generally accepted factor model to assess risk-adjusted hedge fund performance. In this paper, we compare three alternative factor models: the widely used Fung and Hsieh (2004) seven-factor model, a recently proposed extension to an eight-factor model, and...

Persistent link: https://www.econbiz.de/10013094343

Benchmark versus Index in Mutual Fund Performance Evaluation

Vidal-García, Javier; Vidal, Marta - 2022

The adequate evaluation of mutual fund performance and of the fund managers’ ability to add value is an issue to which it has been given special attention in the recent financial literature. One of the traditional evaluation measures most commonly used is Carhart's alpha. However, one of the...

Persistent link: https://www.econbiz.de/10014361402

Institutional Investors, Heterogeneous Benchmarks and the Comovement of Asset Prices

Buffa, Andrea M - 2018

benchmarks, and demonstrate how heterogeneous benchmarking generates a mechanism through which fundamental shocks propagate … across assets. Fluctuations in asset managers' capital invested for benchmarking purposes, scaled by the size of the economy … these benchmarking-induced spillovers by analyzing shock elasticities and cross-elasticities of price-dividend ratios, and …

Persistent link: https://www.econbiz.de/10012910534

Ross-type dynamic portfolio separation (almost) without Ito stochastic calculus

Framstad, Nils Chr. - 2013 - This version August 16, 2013

approach of Khanna and Kulldorff (Finance Stoch. 3 (1999), pp. 167-185) down to multivariate distributions theory, stochastic …

Persistent link: https://www.econbiz.de/10009787073

Is the market held by institutional investors? : the disposition effect revisited

Croonenbroeck, Carsten; Matkovskyy, Roman - 2013

shareholder structure, which is in line with the theory. …

Persistent link: https://www.econbiz.de/10009782035

Portfolio separation properties of the skew-elliptical distributions

Framstad, Nils Chr. - 2011 - Publisert 10. feb. 2011 10:53, Version: February 1, 2011

The two fund separation property of the elliptical distributions is extended to the skew-elliptical and by adding a number of funds equalling the rank of the skewness matrix. Some elements of the generalization to singular extended skew-elliptical distributions are covered. -- Portfolio...

Persistent link: https://www.econbiz.de/10008825359

Portfolio separation with α-symmetric and psuedo-isotropic distributions

Framstad, Nils Chr. - 2011 - version: February 27, 2011

The pseudo-isotropic multivariate distributions are shown to satisfy Ross' stochastic dominance criterion for two-fund monetary separation. The classical case of separation under abence of risk-free investment opportunity, admits a few particular generalizations to k-fund separation for...

Persistent link: https://www.econbiz.de/10008932977

Asset Owners and Delegated Managers

Ang, Andrew - 2012

Asset owners (principals) typically do not manage their own investments and leave this job to delegated managers (agents). What is best for the asset owner, however, is usually not best for the fund manager. Additional agency conflicts arise when the asset owner does not know the quality and...

Persistent link: https://www.econbiz.de/10013103917

Mutual Funds Theorem for Continuous Time Markets

Dokuchaev, Nikolai - 2014

For the problem of continuous time optimal portfolio selection, we found that the optimal strategies for investors with different performance criterions can be constructed using a limited number of fixed processes (mutual funds), for a incomplete market with a larger number of available risky...

Persistent link: https://www.econbiz.de/10013069990