Fabretti, Annalisa; Herzel, Stefano; Pinar, Mustafa C. - Centro di Studi Internazionali Sull'Economia e la … - 2014
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. We consider a one-period model with a set of risky assets (with multivariate normal...