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Delegated dynamic portfolio management under mean-variance preferences
2006
Journal of Applied Mathematics and Decision Sciences
We consider a complete financial market with deterministic parameters where an investor and a fund manager have mean-variance preferences. The investor is allowed to borrow with risk-free rate and dynamically allocate his wealth in the fund provided his holdings stay nonnegative. The manager gets proportional fees instantaneously for her management services. We show that the manager can eliminate all her risk, at least in the constant coefficients case. Her own portfolio is a proportion of the
doi:10.1155/jamds/2006/61895
fatcat:eovf5zabsjdahadvul2actohn4