| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w12144 |
| 来源ID | Working Paper 12144 |
| Optimal Decentralized Investment Management | |
| Jules H. van Binsbergen; Michael W. Brandt; Ralph S.J. Koijen | |
| 发表日期 | 2006-04-17 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | We study a decentralized investment problem in which a CIO employs multiple asset managers to implement and execute investment strategies in separate asset classes. The CIO allocates capital to the managers who, in turn, allocate these funds to the assets in their asset class. This two-step investment process causes several misalignments of objectives between the CIO and his managers and can lead to large utility costs on the part of the CIO. We focus on i) loss of diversification ii) different appetites for risk, iii) different investment horizons, and iv) the presence of liabilities. We derive an optimal unconditional linear performance benchmark and show that this benchmark can be used to better align incentives within the firm. The optimal benchmark substantially mitigates the utility costs of decentralized investment management. These costs can be further reduced when the CIO can screen asset managers on the basis of their risk appetites. Each manager%u2019s optimal level of risk aversion depends on the asset class he manages and can differ substantially from the CIO%u2019s level of risk aversion. |
| 主题 | Financial Economics ; Financial Markets ; Portfolio Selection and Asset Pricing |
| URL | https://www.nber.org/papers/w12144 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/569811 |
| 推荐引用方式 GB/T 7714 | Jules H. van Binsbergen,Michael W. Brandt,Ralph S.J. Koijen. Optimal Decentralized Investment Management. 2006. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w12144.pdf（2934KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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