Portfolio selection of a closed-end mutual fund

DOI10.1007/S00186-012-0383-8MaRDI QIDQ1935935zbMATH OpenOpenAlexFDO

Authors Yan Li, Bai-min Yu

Publication date 20 February 2013

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00186-012-0383-8

zbMATH Keywords

closed-end mutual fundexpected utilityportfolio selectionregulationwelfare of the manager

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Cooperative games (91A12) Social choice (91B14) Welfare economics (91B15) Portfolio theory (91G10)

Review text

The authors consider how the welfare of a fund manager is affected by regulations that prohibit her from investing in the fund on her own account. In a complete Itô-process setting, it turns out that this regulation has virtually no effect, if the manager is paid a weighted average of present and past fund values, computed by integrating the value of the fund against some deterministic, nondecreasing càdlàg process. Then, if there is either a terminal lump-sum payment or the investor's preferences over consumption stream are either lower semicontinuous or of expected utility type, the optimal performance is the same, with or without the regulation prohibiting the manager from investing in the fund she manages.

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Cites work

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Cited in

(5)

• Option on a unit-type closed-end investment fund
• Portfolio pumping, trading activity and fund performance
• Optimal investment problem for an open-end fund with dynamic flows
• Inter‐temporal mutual‐fund management
• Optimal fund menus

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