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학술연구/단체지원/교육 등 연구자 활동을 지속하도록 DBpia가 지원하고 있어요.
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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 대한산업공학회 Industrial Engineering & Management Systems Industrial Engineering & Management Systems Vol.24 No.1
- 발행연도
- 2025.3
- 수록면
- 42 - 50 (9page)
- DOI
- 10.7232/iems.2025.24.1.042
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초록· 키워드
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In delegated management, it is common practice to manage portfolios within specific risk tolerances based on bench-mark indices. We provide insights into the fund manager’s optimal learning and investment behavior in response to changes in constituents of the benchmark. Our model allows us to examine the importance of allocating attention to newly listed stocks. The manager’s optimal effort exerted by the manager on new stock decreases as the constraint on tracking error becomes tighter. On the other hand, the optimal effort allocated to the new stock increases as the size of delegated funds increases. It is advisable to loosen the tracking error limits for delegated fund managers from the perspective of investor’s wealth under changes in benchmark constituents.
목차
ABSTRACT
1. INTRODUCTION
2. DELEGATED PORTFOLIO UNDER CHANGES IN BENCHMARK CONSTITUENTS
3. OPTIMAL CHOICE OF DELEGATED FUND MANAGER AND INVESTOR
4. CONCLUSION
APPENDIX: FORMULA FOR CONDITIONAL MULTIVARIATE NORMAL DISTRIBUTION
REFERENCES
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