The paper proposes a model of delegated portfolio management in which career concerns lead to unprofitable trade by uninformed managers (i.e. churning). We find that churning does not necessarily reduce the return that a representative investor expects ex-ante from delegating trade to a manager....

We consider the portfolio selection problem in the accumulation phase of a defined contribution (DC) pension scheme. We solve the mean-variance portfolio selection problem using the embedding technique pioneered by Zhou and Li (2000) and show that it is equivalent to a target-based optimization...

The unconventional monetary policies implemented in the wake of the subprime crisis and the recent increase in inflation volatility have revived the debate on medium to long-term resurgence of inflation. This paper presents the optimal strategic asset allocation for investors seeking to hedge...

First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of returns and a static correlation matrix...

The distribution strategies of mutual funds directly or indirectly affect both their growth and their revenues. The extent of resources dedicated by a fund to its distribution channel(s) is therefore an important strategic decision. For a sample of US diversified equity mutual funds in the...

Downside deviation, semivariance, or the second lower partial moment are different names for the same risk measure, proposed in the literature for capturing the downside risk of investment decisions. This paper analyzes multiperiod decision making under such a risk measure, and finds that a...

In this paper we develop a framework for asset-liability management for pension funds in a time-varying volatility environment. We use sophisticated dynamic econometric models for the variances-covariances of the asset classes in which the pension fund is investing, while keeping the liability...

The intercept of the standard CAPM and Conditional CAPM model, the alpha, is used to evaluate the long-run performance of managed portfolios. However, this measure is not always appropriate for detecting the presence and impact of active management strategies. In this paper, we introduce a...

It is well known that investors usually assign part of their funds to asset managers who are given the task of beating a benchmark portfolio. On the other hand, the risk management off ice could impose some restrictions to the asset managers' activity in order to maintain the overall portfolio...