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| Stefano Herzel and Marco Nicolosi |
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| ''Portfolio allocation in actively managed funds'' |
| ( 2017, Vol. 37 No.3 ) |
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| 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.
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| Keywords: Portfolio optimization, benchmark related incentives, efficient frontier |
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| Manuscript Received : Jul 20 2017 | | Manuscript Accepted : Jul 23 2017 |
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