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Centralized Portfolio Optimization i...

Lee, Minho.

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Centralized Portfolio Optimization in the Presence of Decentralized Decision Making.

Record Type:	Electronic resources : Monograph/item
Title/Author:	Centralized Portfolio Optimization in the Presence of Decentralized Decision Making./
Author:	Lee, Minho.
Description:	40 p.
Notes:	Source: Masters Abstracts International, Volume: 55-03.
Contained By:	Masters Abstracts International55-03(E).
Subject:	Operations research. -
Online resource:	http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1605774
ISBN:	9781339342566

Centralized Portfolio Optimization in the Presence of Decentralized Decision Making.
Lee, Minho.

Centralized Portfolio Optimization in the Presence of Decentralized Decision Making. - 40 p.

Source: Masters Abstracts International, Volume: 55-03.

Thesis (M.A.S.)--University of Toronto (Canada), 2015.

We study an asset allocation problem for a multi-asset fund where multiple decentralized managers implement investment strategies in separate asset classes. To control for portfolio measures at the fund, it is a common practice to follow a traditional asset allocation methodology to obtain optimal target weights and force the investment managers to stay close to the target. However, the sophistication and high level of specialization involved in alternative investment strategies create uncertainty in investment managers achieving the target weight; hence causing misallocations. Therefore, we develop two asset allocation models that provide a range of portfolio allocations (i.e. bounds) for individual investment managers to operate in order to maintain desirable firm wise portfolio measures while accounting for potential misallocations. Also, the proposed optimization problems have potentially large number of constraints, so we suggest a procedure to reduce the number of constraints before the optimization.

ISBN: 9781339342566Subjects--Topical Terms:

547123
Operations research.

Centralized Portfolio Optimization in the Presence of Decentralized Decision Making.
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020 $a 9781339342566
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100 1 $a Lee, Minho. $3 1256728
245 1 0 $a Centralized Portfolio Optimization in the Presence of Decentralized Decision Making.
300 $a 40 p.
500 $a Source: Masters Abstracts International, Volume: 55-03.
500 $a Advisers: Roy Kwon; Chi-Guhn Lee.
502 $a Thesis (M.A.S.)--University of Toronto (Canada), 2015.
520 $a We study an asset allocation problem for a multi-asset fund where multiple decentralized managers implement investment strategies in separate asset classes. To control for portfolio measures at the fund, it is a common practice to follow a traditional asset allocation methodology to obtain optimal target weights and force the investment managers to stay close to the target. However, the sophistication and high level of specialization involved in alternative investment strategies create uncertainty in investment managers achieving the target weight; hence causing misallocations. Therefore, we develop two asset allocation models that provide a range of portfolio allocations (i.e. bounds) for individual investment managers to operate in order to maintain desirable firm wise portfolio measures while accounting for potential misallocations. Also, the proposed optimization problems have potentially large number of constraints, so we suggest a procedure to reduce the number of constraints before the optimization.
590 $a School code: 0779.
650 4 $a Operations research. $3 547123
650 4 $a Industrial engineering. $3 526216
650 4 $a Finance. $3 542899
690 $a 0796
690 $a 0546
690 $a 0508
710 2 $a University of Toronto (Canada). $b Mechanical and Industrial Engineering. $3 2100959
773 0 $t Masters Abstracts International $g 55-03(E).
790 $a 0779
791 $a M.A.S.
792 $a 2015
793 $a English
856 4 0 $u http://pqdd.sinica.edu.tw/twdaoapp/servlet/advanced?query=1605774