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dc.contributor.authorBasak, Suleyman-
dc.contributor.authorShapiro, Alex-
dc.contributor.authorTepla, Lucie-
dc.date.accessioned2008-05-30T17:15:39Z-
dc.date.available2008-05-30T17:15:39Z-
dc.date.issued2003-12-
dc.identifier.urihttp://hdl.handle.net/2451/27293-
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 pre-specified 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 over-performs a target benchmark under different economic conditions, depending on his attitude towards risk and choice of the benchmark. The analysis therefore illustrates how investors can achieve their desired gain/loss characteristics for funds under management through an appropriate combined choice of the benchmark and money manager. We consider a variety of extensions, and also highlight the ability of our setting to shed some light on documented return patterns across segments of the money management industry.en
dc.language.isoen_USen
dc.relation.ispartofseriesFIN-03-048en
dc.subjectBenchmarkingen
dc.subjectInvestmentsen
dc.subjectShortfall Risken
dc.subjectTracking Errorsen
dc.subjectValue-at-Risken
dc.titleRisk Management with Benchmarkingen
dc.typeWorking Paperen
Appears in Collections:Finance Working Papers

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