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Delegated asset management, investment mandates, and capital immobility
Institutional frictions Negatively skewed risk Tracking error constraints Market segmentation
2014/3/18
This paper develops a model to explain the widely used investment mandates in the
institutional asset management industry based on two insights: first, giving a manager
more investment fl...
Jump-Diffusion Risk-Sensitive Asset Management II: Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes Poisson point processes L´ evy processes HJB PIDE policy improvement parabolic PDE classical solutions viscosity solutions.
2011/3/23
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem [SIAM J. Fin. Math. (2011) 22-54] by allowing jumps in both the factor process and the asset prices...
Risk-Sensitive Asset Management in a Jump-Diffusion Factor Model
Asset management risk-sensitive stochastic control jump diffusion processes
2010/10/18
In this article we extend earlier work on the jump-diffusion risk-sensitive asset management problem by allowing for jumps in both the factor process and the asset prices as well as stochastic volatil...
Jump-Diffusion Risk-Sensitive Asset Management
Jump-Diffusion Risk-Sensitive Asset Management
2010/11/1
This paper considers a portfolio optimization problem in which asset prices arer epresented by SDEs driven by Brownian motion and a Poisson random measure, with drifts that are functions of an auxilia...
The European Funds and Asset Management Association (EFAMA)
is the representative association for the European investment management industry.
Global Asset Management(GAM)
investing 投资
2007/12/26
Global Asset Management’s competitive edge lies in our active and innovative approach to investing. All of their fund managers, whether employed by or contracted to , are unconstrained in their invest...
Sustainable Asset Management
investment 投资
2007/12/26
Sustainable Asset Management Group was founded in 1995 as an independent asset management company specialising in sustainability investments. Today SAM is one of the world’s leading institutions in th...