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Stefano Herzel and Marco Nicolosi
 
''Portfolio allocation in actively managed funds''
( 2017, Vol. 37 No.3 )
 
 
We consider the problem of an investor who allocates his wealth among a risky asset and a managed portfolio. We obtain the optimal strategies of the fund managers for two different incentive schemes. We discuss an example of comparison of the efficient frontiers for the investor, in a model with mean reverting returns.
 
 
Keywords: Portfolio optimization, benchmark related incentives, efficient frontier
JEL: G1 - (G11, G13, G13) Portfolios, Investments, Asset and Futures Pricing, Trading Volume & Bond Interest Rates
 
Manuscript Received : Jul 20 2017 Manuscript Accepted : Jul 23 2017

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