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Optimal Decentralized Portfolio Management by muhrom is a document available to read on EtoBox.

This document presents a model for optimal portfolio construction by a centralized decision maker (CDM) with multiple decentralized portfolio managers. It begins by describing the problem faced by pension funds and other institutions that employ multiple outside managers. It then outlines a model where the CDM constructs portfolios using estimates of returns, variances and covariances of manager portfolios. However, this overall portfolio may not be truly optimal since manager portfolios are constructed ind

Author

muhrom

Language

EN