Delegated Portfolio Management with Ambiguity Aversion

@inproceedings{Fabretti2012DelegatedPM,
  title={Delegated Portfolio Management with Ambiguity Aversion},
  author={Annalisa Fabretti and Stefano Herzel and Mustafa Ç. Pınar},
  year={2012}
}
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
Highly Cited
This paper has 39 citations. REVIEW CITATIONS
30 Citations
10 References
Similar Papers

References

Publications referenced by this paper.
Showing 1-10 of 10 references

Delegated Portfolio Management with Socially Responsible Investment Constraints

  • A. Fabretti, S. Herzel
  • European Journal of Finance, forthcoming DOI:10…
  • 2011
1 Excerpt

Global Portfolio Optimization

  • F. Black, R. Litterman
  • Financial Analysts Journal 48(5), 28–43
  • 1992
1 Excerpt

On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results

  • M. J. Best, R. R. Grauer
  • The Review of Financial Studies, 4(2), 315-342
  • 1991
1 Excerpt

Sensitivity Analysis for Mean-Variance Portfolio Problems

  • M. Best, R. Grauer
  • Management Science, 37 (8) , 980-989
  • 1991
1 Excerpt

Delegated Portfolio Management

  • S. Bhattacharya, P. Pfleiderer
  • Journal of Economic Theory, 36, 1-25
  • 1985
1 Excerpt

Similar Papers

Loading similar papers…