Full metadata record
DC Field | Value | Language |
---|---|---|
dc.contributor.author | Basak, Suleyman | - |
dc.contributor.author | Shapiro, Alex | - |
dc.contributor.author | Tepla, Lucie | - |
dc.date.accessioned | 2008-05-29T12:38:25Z | - |
dc.date.available | 2008-05-29T12:38:25Z | - |
dc.date.issued | 2001-10 | - |
dc.identifier.uri | http://hdl.handle.net/2451/26903 | - |
dc.description.abstract | Portfolio 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.iso | en_US | en |
dc.relation.ispartofseries | S-DRP-01-15 | en |
dc.title | Risk Management with Benchmarking | en |
dc.type | Working Paper | en |
Appears in Collections: | Derivatives Research |
Files in This Item:
File | Description | Size | Format | |
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S-DRP-01-15.pdf | 603.98 kB | Adobe PDF | View/Open |
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