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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/27439
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| Title: | Optimum Centralized Portfolio Construction with Decentralized Portfolio Management |
| Authors: | Elton, Edwin J.
Gruber, Martin J. |
| Issue Date: | 8-Oct-2002 |
| Series/Report no.: | SC-AM-02-09 |
| Abstract: | Many financial institutions employ outside portfolio managers to manage
part or all of their investable assets. These institutions include
pension funds, private endowments (e.g., colleges and charities), and
private trusts. In 1999, the investment company institute estimated that
these institutions managed 5.2 trillion dollars in assets. Most of these
institutions employed outside managers to invest these funds. The
relevancy of this problem has been widely recognized in the
practitioners literature on portfolio. Furthermore, it is recognized in
the prudent man law that spells out the responsibilities of the
centralized decision maker delegating management responsibility.2 For
example the New York State law in estate power and trust states. Pension
funds are the largest and most likely organizations to employ several
outside managers, each of whom manages a part of the overall portfolio.
In this paper we will use the pension fund manager as the prototype of
the centralized decision-maker trying to optimally manage a set of
decentralized portfolio managers but the analysts is general. |
| URI: | http://hdl.handle.net/2451/27439 |
| Appears in Collections: | Asset Management
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