Optimal benchmarking for active portfolio managers

European Journal of Operational Research

Volumn 226, Issue 2, 2013, Pages 268-276

  Lioui, Abraham ^a   Poncet, Patrice ^b  

^a EDHEC BUSINESS SCHOOL   (France)

^b ESSEC BUSINESS SCHOOL   (France)

Author keywords

Benchmarking; Continuous time trading; Incentive fees; Martingale approach; Mutual funds; Principal agent model

Indexed keywords

CONTINUOUS TIME TRADING; INCENTIVE FEES; MARTINGALE APPROACH; MUTUAL FUNDS; PRINCIPAL-AGENT MODEL;

BENCHMARKING; INVESTMENTS; MANAGEMENT; OPTIMIZATION;

MANAGERS;

EID: 84872111685     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ejor.2012.10.043     Document Type: Article

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