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delegated dynamic portfolio management under mean-variance preferences委托动态均值-方差偏好下项目组合管理.pdf

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delegated dynamic portfolio management under mean-variance preferences委托动态均值-方差偏好下项目组合管理

DELEGATED DYNAMIC PORTFOLIO MANAGEMENT UNDER MEAN-VARIANCE PREFERENCES COSKUN CETIN Received 24 January 2006; Revised 12 March 2006; Accepted 7 June 2006 We consider a complete ﬁnancial market with deterministic parameters where an investor and a fund manager have mean-variance preferences. The investor is allowed to borrow with risk-free rate and dynamically allocate his wealth in the fund provided his holdings stay nonnegative. The manager gets proportional fees instantaneously for her manage- ment services. We show that the manager can eliminate all her risk, at least in the constant coeﬃcients case. Her own portfolio is a proportion of the amount the investor holds in the fund. The equilibrium optimal strategies are independent of the fee rate although the portfolio of each agent depends on it. An optimal fund weight is obtained by the numer- ical solution of a nonlinear equation and is not unique in general. In one-dimensional case, the investor’s risk is inversely proportional to the weight of the risky asset in the fund. We also generalize the problem to the case of multiple managers and provide some examples. Copyright © 2006 Coskun Cetin. This is an open access article distributed under the Cre- ative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. 1. Introduction and problem formulation In this paper, we consider a delegated portfolio management problem in a complete ﬁ- nancial market where a small investor does not have direct access to the risky assets in an equity market (due to high transaction costs, taxes, or other constraints). So the in- vestor trades dynamically through a mutual fund by paying an instantaneous fee to a fund manager. For a recent (and the ﬁrst to our knowledge) work on the relationship between fund ﬂows and fund returns in a dynamic setting, one may see Hugonnier and Kaniel [6] where the investor has a