Investment strategies and compensation of a mean-variance optimizing fund manager

DOI10.1016/j.ejor.2013.04.038zbMath1304.91175OpenAlexW1991242459WikidataQ57949114 ScholiaQ57949114MaRDI QIDQ2514727

Georgios Aivaliotis, Jan Palczewski

Publication date: 3 February 2015

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2013.04.038

zbMATH Keywords

viscosity solutionsmean-varianceinvestment strategymanagerial compensationcontinuous-time stochastic control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (6)

Relative performance evaluation for dynamic contracts in a large competitive market ⋮ Fund managers' competition for investment flows based on relative performance ⋮ Optimal dynamic longevity hedge with basis risk ⋮ An HJB approach to a general continuous-time mean-variance stochastic control problem ⋮ Investment strategies and compensation of a mean-variance optimizing fund manager ⋮ Optimal investment problem for an open-end fund with dynamic flows

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