Optimal benchmarking for active portfolio managers

DOI10.1016/J.EJOR.2012.10.043zbMath1292.91165OpenAlexW1997901932MaRDI QIDQ2253564

Patrice Poncet, Abraham Lioui

Publication date: 27 July 2014

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2012.10.043

zbMATH Keywords

principal-agent modelmartingale approachbenchmarkingmutual fundscontinuous time tradingincentive fees

Mathematics Subject Classification ID

Portfolio theory (91G10)

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