Delegated Portfolio Management with Ambiguity Aversion

  title={Delegated Portfolio Management with Ambiguity Aversion},
  author={Annalisa Fabretti and Stefano Herzel and Mustafa Ç. Pınar},
The purpose of this paper is to consider the problem of an investor, who, aware of the effect of estimating errors on expected returns, adopts a robust optimization approach. Since the investor does not have direct access to the market and delegates the investment strategy to a portfolio manager, we consider a problem of delegated portfolio management with ambiguity aversion. More specifically, we are interested in analyzing the effect of ambiguity aversion on delegated portfolio choices and… CONTINUE READING
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