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• W2044337436 endingPage "985" @default.
• W2044337436 startingPage "977" @default.
• W2044337436 abstract "Most investors delegate the management of a fraction of their wealth to portfolio managers who are given the task of beating a benchmark. However, in an influential paper [Roll, R., 1992. A mean/variance analysis of tracking error. Journal of Portfolio Management 18, 13–22] shows that the objective functions commonly used by these managers lead to the selection of portfolios that are suboptimal from the perspective of investors. In this paper, we provide an explanation for the use of these objective functions based on the effect of background risk on investors’ optimal portfolios. Our main contribution is to provide conditions under which investors can optimally delegate the management of their wealth to portfolio managers." @default.
• W2044337436 created "2016-06-24" @default.
• W2044337436 creator A5088977203 @default.
• W2044337436 date "2008-06-01" @default.
• W2044337436 modified "2023-10-16" @default.
• W2044337436 title "Optimal delegated portfolio management with background risk" @default.
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• W2044337436 doi "https://doi.org/10.1016/j.jbankfin.2007.07.009" @default.
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