Portfolio selection of a closed-end mutual fund
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- 作者：Yan Li (1) liyan@ynnu.edu.cn
Baimin Yu (2) bmyu@uibe.edu.cn - 关键词：Closed ; end mutual fund – ; Regulation – ; Welfare of the manager – ; Portfolio selection – ; Expected utility
- 刊名：Mathematical Methods of Operations Research (ZOR)
- 出版年：2012
- 出版时间：June 2012
- 年：2012
- 卷：75
- 期：3
- 页码：245-272
- 全文大小：299.3 KB
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- 刊物类别：Mathematics and Statistics
- 刊物主题：Mathematics
Calculus of Variations and Optimal Control
Operation Research and Decision Theory
Business - 出版者：Physica Verlag, An Imprint of Springer-Verlag GmbH
- ISSN：1432-5217
文摘
A well-known regulation on the management of a closed-end mutual fund is that the managers’ account cannot invest in risky assets. This paper studies the impact of this regulation under a given management fee structure such that the cumulative management fee rate is described by a fixed RCLL deterministic increasing function. We conclude that the manager’s welfare is approximately the same whether the regulation exists or not. In the expected utility maximization framework, we explicitly find the optimal investment-consumption plan when it exists, and get a sequence of asymptotic near-optimal investment-consumption plans when an optimal one does not exist.