Delegated portfolio management - optimal portfolio policies under compensation, capital flow and price influence

Andreas Kremer. Betreuer: Jochen Wilhelm

This work investigates the intertemporal portfolio optimization of professional portfolio managers. It analyzes whether the special conditions of delegation in which portfolio managers make investment decisions - compensation depending on assets under management, capital flow depending on past performance, and influence on prices - can explain the observable investment patterns of portfolio managers. It further evaluates optimal portfolio policies from the primary investor’s perspective.

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Year of publication:	2013
Authors:	Kremer, Andreas
Other Persons:	Wilhelm, Jochen (degree supervisor)
Publisher:	Passau : Universitätsbibliothek der Universität Passau
Subject:	portfolio management \| capital market \| efficiency \| markov chain approximation \| trinomial tree model \| Portfolio-Management \| Portfolio selection \| Unvollkommener Markt \| Incomplete market \| Effizienzmarkthypothese \| Efficient market hypothesis \| Markov-Kette \| Markov chain \| Monte-Carlo-Simulation \| Monte Carlo simulation

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Extent:	Online-Ressource (XII, 196 S.) graph. Darst.
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Hochschulschrift ; Thesis
Language:	English
Thesis:	Passau, Univ., Diss., 2012
Notes:	Systemvoraussetzung: Acrobat Reader Nebent.: Delegiertes Portfolio Management - Optimale Portfolio Strategien bei Vergütung, Kapitalfluss und Preiseinfluss
Source:	ECONIS - Online Catalogue of the ZBW

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