Titulo: “On the Optimal Design of a Benchmark Portfolio

Autores: Pablo Castañeda

Abstract:

We study the optimal design of a benchmark portfolio, in a delegated portfolio management problem. When markets are complete, we find that optimal benchmarks achieve first-best asset allocation for the principal (i.e., the asset owner). Otherwise, they might achieve a second-best allocation only. Standard long-only (i.e., no short-sales, and no borrowing) constraints, commonly imposed over mutual and pension funds, are an important source of market incompleteness. We explore a calibrated version of the model using data from the U.S. mutual fund industry. Our results show for that long-only constraints might be responsible (for some parameter values) of sizable welfare losses in the design of the optimal benchmark portfolios.

[Descargar Artículo]

Fecha y hora: 19 de Mayo de 2017 | 13:00 hrs
Lugar: Sala P307 Edificio Placa (Diagonal Paraguay # 257, Santiago, Chile)

Confirmaciones al correo: Esta dirección de correo electrónico está siendo protegida contra los robots de spam. Necesita tener JavaScript habilitado para poder verlo.

[Volver al Inicio]