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dc.contributor.authorBasak, Suleyman-
dc.contributor.authorShapiro, Alex-
dc.contributor.authorTepla, Lucie-
dc.date.accessioned2008-05-29T12:38:25Z-
dc.date.available2008-05-29T12:38:25Z-
dc.date.issued2001-10-
dc.identifier.urihttp://hdl.handle.net/2451/26903-
dc.description.abstractPortfolio theory must address the fact that in reality, portfolio managers are evaluated relative to a benchmark, and therefore adopt risk management practices to account for the benchmark performance. We capture this risk management consideration by allowing a prespecified shortfall from a target benchmark-linked return, consistent with growing interest in such practice. In a dynamic setting, we demonstrate how a risk averse portfolio manager optimally under- or overperforms a target benchmark under different economic conditions, depending on his attitude towards risk and choice of the benchmark. Investors can therefore achieve their desired gain/loss characteristics for funds under management through an appropriate combined choice of the benchmark and money manager.en
dc.language.isoen_USen
dc.relation.ispartofseriesS-DRP-01-15en
dc.titleRisk Management with Benchmarkingen
dc.typeWorking Paperen
Appears in Collections:Derivatives Research

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