Delegated portfolio management: optimal portfolio policies under compensation, capital flow and price influence
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| 1. Verfasser: | |
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
2012
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| Schlagworte: | |
| Online-Zugang: | kostenfrei Volltext Inhaltsverzeichnis |
| Beschreibung: | XII, 196 S. graph. Darst. |
Internformat
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Datensatz im Suchindex
| _version_ | 1804149794930688000 |
|---|---|
| adam_text | Contents
List of Figures IV
List of Tables VI
List of Symbols
VII
List of Abbreviations XI
Acknowledgements
XII
1.
Introduction
1
1.1.
Research Question
.......................... 1
1.2.
Research Approach and Related Research
.............. 7
1.3.
Structure of Work
........................... 10
2.
Research Context of Delegated Investment Decisions
13
2.1.
Involvement in Investment Decisions
................. 13
2.2.
Products for Delegated Portfolio Management
............ 15
2.3.
Historical Development
.........................18
2.4.
Focus on Mutual Funds and Institutional Accounts
......... 20
3.
Conditions of Delegated Portfolio Management
23
3.1.
Compensation as Explicit Incentive
................. 24
3.1.1.
General Compensation Form
................. 25
3.1.2.
Level of Management Fees
.................. 26
3.1.3.
Payment Arrangement
.................... 27
3.1.4.
Results for Model Design
.................. 27
3.2.
Capital Flow as Implicit Incentive
.................. 28
3.2.1.
Factors Affecting Capital Flow
................ 29
3.2.2.
Nonlinear Performance-Flow Relationship for Mutual Funds
33
Contents
3.2.3. Linear
Relationship for Institutional
Accounts
........ 34
3.2.4.
Results for Model Design
.................. 36
3.3.
Price Effects from Trades
....................... 37
3.3.1.
Evidence for Price Effects
.................. 38
3.3.2.
Mutual Fund Flow and Price Effects
............. 41
3.3.3.
Permanent and Temporary Price Effects
........... 42
3.3.4.
Form of Price Impact Function
................ 43
3.3.5.
Results for Model Design
.................. 46
4.
Methodology
47
4.1.
Dynamic Programming and Portfolio Optimization
......... 47
4.1.1.
Intertemporal
Portfolio Optimization
............ 48
4.1.2.
Discussion of Standard Results
................ 50
4.2.
Numerical Approximations with Markov Chains
........... 52
4.2.1.
Markov Chain Approximation Method
........... 53
4.2.2.
Explicit Approximation for Finite Horizon Problems
.... 55
4.2.3.
Finite Horizon Portfolio Optimization
............ 57
4.3.
Discrete Time Models
......................... 60
4.3.1.
Multinomial Portfolio Models
................ 60
4.3.2.
Discussion of Numerical Results
............... 64
5.
Portfolio Policies under Compensation and Capital Flow
69
5.1.
Related Research
........................... 69
5.1.1.
Compensation and Portfolio Optimization
.......... 69
5.1.2.
Capital Flows and Portfolio Optimization
.......... 73
5.2.
The Situation of Delegation
...................... 74
5.3.
Closed-Form Solution for Linear Model
............... 76
5.3.1.
Model Setup
......................... 76
5.3.2.
Optimal Portfolio Policy
................... 79
5.3.3.
Influence of Management Fee
................ 82
5.3.4.
Effects of Market Performance-Related Capital Flows
... 85
5.3.5.
Effects of a Benchmark Portfolio
.............. 91
5.4.
Numerical Solution for Nonlinear Performance-Flow Relation
... 98
5.4.1.
Model Setup
......................... 98
5.4.2.
Markov Chain Approximation
................ 102
5.4.3.
Influence of Nonlinear Performance Flow
.......... 104
II
Contents
5.5.
Concluding Remarks
.........................
Ill
6.
Portfolio Policies under Price Influence
113
6.1.
Related Research
...........................113
6.2.
Model Setup with Price Effects
....................116
6.2.1.
Model Processes
.......................116
6.2.2.
Optimization Problem
....................122
6.2.3.
Summary of Model Setup
..................125
6.3.
Numerical Solutions for Portfolio Optimization with Price Effects
. 126
6.3.1.
Single-Period Model
.....................128
6.3.2.
Multiperiod Model with Cash Endowment
.........131
6.3.3.
Multiperiod Model Without Initial Price Effect
.......135
6.3.4.
Multiperiod Model with Capital Flow
............137
6.4.
Concluding Remarks
.........................139
7.
Conclusion
143
A. Portfolio Policies under Compensation and Capital Flow
151
A.I. Optimal Control Candidate
......................151
A.2. Solution to the HJB Equation
.....................152
Ä.3.
Checking Assumptions
........................159
B. Numerical Solution Approach for Trinomial Portfolio Models
163
B.I. Details of Numerical Solutions
....................163
B.2. Implementation of Trinomial Portfolio Model
............168
Bibliography
175
III
|
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| spelling | Kremer, Andreas Verfasser (DE-588)1031587829 aut Delegated portfolio management optimal portfolio policies under compensation, capital flow and price influence Andreas Kremer 2012 XII, 196 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Passau, Univ., Diss., 2012 Delegation (DE-588)4011362-0 gnd rswk-swf Portfolio Selection (DE-588)4046834-3 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Portfolio Selection (DE-588)4046834-3 s Delegation (DE-588)4011362-0 s DE-604 Elektronische Reproduktion urn:nbn:de:bvb:739-opus-25883 Elektronische Reproduktion urn:nbn:de:bvb:739-opus-26919 http://www.opus-bayern.de/uni-passau/volltexte/2013/2691 kostenfrei Volltext https://nbn-resolving.org/urn:nbn:de:bvb:739-opus-25883 Resolving-System Volltext Digitalisierung UB Passau application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025494998&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis |
| spellingShingle | Kremer, Andreas Delegated portfolio management optimal portfolio policies under compensation, capital flow and price influence Delegation (DE-588)4011362-0 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| subject_GND | (DE-588)4011362-0 (DE-588)4046834-3 (DE-588)4113937-9 |
| title | Delegated portfolio management optimal portfolio policies under compensation, capital flow and price influence |
| title_auth | Delegated portfolio management optimal portfolio policies under compensation, capital flow and price influence |
| title_exact_search | Delegated portfolio management optimal portfolio policies under compensation, capital flow and price influence |
| title_full | Delegated portfolio management optimal portfolio policies under compensation, capital flow and price influence Andreas Kremer |
| title_fullStr | Delegated portfolio management optimal portfolio policies under compensation, capital flow and price influence Andreas Kremer |
| title_full_unstemmed | Delegated portfolio management optimal portfolio policies under compensation, capital flow and price influence Andreas Kremer |
| title_short | Delegated portfolio management |
| title_sort | delegated portfolio management optimal portfolio policies under compensation capital flow and price influence |
| title_sub | optimal portfolio policies under compensation, capital flow and price influence |
| topic | Delegation (DE-588)4011362-0 gnd Portfolio Selection (DE-588)4046834-3 gnd |
| topic_facet | Delegation Portfolio Selection Hochschulschrift |
| url | http://www.opus-bayern.de/uni-passau/volltexte/2013/2691 https://nbn-resolving.org/urn:nbn:de:bvb:739-opus-25883 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=025494998&sequence=000002&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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