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- W1172692783 abstract "This paper studies investors’ decision to delegate portfolio management when they face the ambiguity over the probability distribution of asset returns. Fund managers differ from investors by knowing the true return distribution, and thus, can help investors to allocate their delegated wealth efficiently by conditioning on the true probability model. In equilibrium, fund managers may underperform the market and deliver negative CAPM alpha after fees, but ambiguity investors optimally choose to delegate part of their wealth in order to improve ex ante welfare. This result resolves the tension between a growing asset management sector and its mediocre performance. Using the U.S. equity market data to simulate investors’ ambiguity, the model generates c.50% delegation, close to the historical average. Moreover, this model provides a rich set of equilibrium asset pricing implications of ambiguity-driven delegation." @default.
- W1172692783 created "2016-06-24" @default.
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- W1172692783 date "2014-04-23" @default.
- W1172692783 modified "2023-09-23" @default.
- W1172692783 title "The Robust Alpha: Delegated Portfolio Management and Cross-Sectional Asset Pricing under Ambiguity" @default.
- W1172692783 hasPublicationYear "2014" @default.
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