Portfolio selection of a closed-end mutual fund
A well-known regulation on the management of a closed-end mutual fund is that the managers’ account cannot invest in risky assets. This paper studies the impact of this regulation under a given management fee structure such that the cumulative management fee rate is described by a fixed RCLL determi...
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| Veröffentlicht in: | Mathematical methods of operations research (Heidelberg, Germany) Germany), 2012-06, Vol.75 (3), p.245-272 |
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| container_title | Mathematical methods of operations research (Heidelberg, Germany) |
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| creator | Li, Yan Yu, Baimin |
| description | A well-known regulation on the management of a closed-end mutual fund is that the managers’ account cannot invest in risky assets. This paper studies the impact of this regulation under a given management fee structure such that the cumulative management fee rate is described by a fixed RCLL deterministic increasing function. We conclude that the manager’s welfare is approximately the same whether the regulation exists or not. In the expected utility maximization framework, we explicitly find the optimal investment-consumption plan when it exists, and get a sequence of asymptotic near-optimal investment-consumption plans when an optimal one does not exist. |
| doi_str_mv | 10.1007/s00186-012-0383-8 |
| format | Article |
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This paper studies the impact of this regulation under a given management fee structure such that the cumulative management fee rate is described by a fixed RCLL deterministic increasing function. We conclude that the manager’s welfare is approximately the same whether the regulation exists or not. In the expected utility maximization framework, we explicitly find the optimal investment-consumption plan when it exists, and get a sequence of asymptotic near-optimal investment-consumption plans when an optimal one does not exist.</description><identifier>ISSN: 1432-2994</identifier><identifier>EISSN: 1432-5217</identifier><identifier>DOI: 10.1007/s00186-012-0383-8</identifier><identifier>CODEN: ZMMRFZ</identifier><language>eng</language><publisher>Berlin/Heidelberg: Springer-Verlag</publisher><subject>Analysis ; Asymptotic methods ; Asymptotic properties ; Business and Management ; Calculus of Variations and Optimal Control; Optimization ; Control ; Expected utility ; Fees & charges ; Investment advisors ; Investors ; Lump sum ; Management ; Mathematical analysis ; Mathematics ; Mathematics and Statistics ; Maximization ; Mutual funds ; Operations research ; Operations Research/Decision Theory ; Optimization ; Original Article ; Portfolio management ; Regulation ; Scandals ; Stock exchanges ; Studies ; Utilities</subject><ispartof>Mathematical methods of operations research (Heidelberg, Germany), 2012-06, Vol.75 (3), p.245-272</ispartof><rights>Springer-Verlag 2012</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><cites>FETCH-LOGICAL-c365t-10e63b779dae187c15046478cb3cb3332883815c82b7c9aad8ec11b38bcae7f03</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktopdf>$$Uhttps://link.springer.com/content/pdf/10.1007/s00186-012-0383-8$$EPDF$$P50$$Gspringer$$H</linktopdf><linktohtml>$$Uhttps://link.springer.com/10.1007/s00186-012-0383-8$$EHTML$$P50$$Gspringer$$H</linktohtml><link.rule.ids>314,777,781,27905,27906,41469,42538,51300</link.rule.ids></links><search><creatorcontrib>Li, Yan</creatorcontrib><creatorcontrib>Yu, Baimin</creatorcontrib><title>Portfolio selection of a closed-end mutual fund</title><title>Mathematical methods of operations research (Heidelberg, Germany)</title><addtitle>Math Meth Oper Res</addtitle><description>A well-known regulation on the management of a closed-end mutual fund is that the managers’ account cannot invest in risky assets. This paper studies the impact of this regulation under a given management fee structure such that the cumulative management fee rate is described by a fixed RCLL deterministic increasing function. We conclude that the manager’s welfare is approximately the same whether the regulation exists or not. In the expected utility maximization framework, we explicitly find the optimal investment-consumption plan when it exists, and get a sequence of asymptotic near-optimal investment-consumption plans when an optimal one does not exist.</description><subject>Analysis</subject><subject>Asymptotic methods</subject><subject>Asymptotic properties</subject><subject>Business and Management</subject><subject>Calculus of Variations and Optimal Control; Optimization</subject><subject>Control</subject><subject>Expected utility</subject><subject>Fees & charges</subject><subject>Investment advisors</subject><subject>Investors</subject><subject>Lump sum</subject><subject>Management</subject><subject>Mathematical analysis</subject><subject>Mathematics</subject><subject>Mathematics and Statistics</subject><subject>Maximization</subject><subject>Mutual funds</subject><subject>Operations research</subject><subject>Operations Research/Decision 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Meth Oper Res</stitle><date>2012-06-01</date><risdate>2012</risdate><volume>75</volume><issue>3</issue><spage>245</spage><epage>272</epage><pages>245-272</pages><issn>1432-2994</issn><eissn>1432-5217</eissn><coden>ZMMRFZ</coden><abstract>A well-known regulation on the management of a closed-end mutual fund is that the managers’ account cannot invest in risky assets. 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| ispartof | Mathematical methods of operations research (Heidelberg, Germany), 2012-06, Vol.75 (3), p.245-272 |
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| source | Business Source Complete; Springer Nature - Complete Springer Journals |
| subjects | Analysis Asymptotic methods Asymptotic properties Business and Management Calculus of Variations and Optimal Control Optimization Control Expected utility Fees & charges Investment advisors Investors Lump sum Management Mathematical analysis Mathematics Mathematics and Statistics Maximization Mutual funds Operations research Operations Research/Decision Theory Optimization Original Article Portfolio management Regulation Scandals Stock exchanges Studies Utilities |
| title | Portfolio selection of a closed-end mutual fund |
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