A Continuous-Time Version of a Delegated Asset Management Problem
Joint Authors
Li, Yanan
Li, Zengti
Li, Chuanzheng
Source
Mathematical Problems in Engineering
Issue
Vol. 2020, Issue 2020 (31 Dec. 2020), pp.1-8, 8 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2020-11-30
Country of Publication
Egypt
No. of Pages
8
Main Subjects
Abstract EN
This paper develops a continuous-time model to study the widely used investment mandates in the institutional asset management industry.
In this paper, just like He and Xiong (2013), we suppose that the asset management industry has a two-layered incentive structure, and fund families charging investors fixed management fees while compensating individual fund managers based on fund performance.
Different from He and Xiong (2013), we suppose that the fund family aims to select an optimal incentive strategy to maximize its terminal benefits, while the fund manager needs to select the optimal effort level and the optimal investment portfolio to maximize his terminal net discounted compensation in a continuous-time model.
By using dynamic programming principle and stochastic differential game theory, the optimal strategies and value functions of both sides are derived.
At last, numerical studies are provided to illustrate the effects of all the parameters on the optimal strategies.
The result reveals that the optimal incentive mechanism will redistribute both the benefit of the fund families and the cost of the fund managers’ effort.
American Psychological Association (APA)
Li, Yanan& Li, Zengti& Li, Chuanzheng. 2020. A Continuous-Time Version of a Delegated Asset Management Problem. Mathematical Problems in Engineering،Vol. 2020, no. 2020, pp.1-8.
https://search.emarefa.net/detail/BIM-1201992
Modern Language Association (MLA)
Li, Yanan…[et al.]. A Continuous-Time Version of a Delegated Asset Management Problem. Mathematical Problems in Engineering No. 2020 (2020), pp.1-8.
https://search.emarefa.net/detail/BIM-1201992
American Medical Association (AMA)
Li, Yanan& Li, Zengti& Li, Chuanzheng. A Continuous-Time Version of a Delegated Asset Management Problem. Mathematical Problems in Engineering. 2020. Vol. 2020, no. 2020, pp.1-8.
https://search.emarefa.net/detail/BIM-1201992
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-1201992