| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5174 |
| DP5174 The Macroeconomic Consequences of Reciprocity in Labour Relations | |
| Jean-Pierre Danthine; Andre Kurmann | |
| 发表日期 | 2005-08-23 |
| 出版年 | 2005 |
| 语种 | 英语 |
| 摘要 | Portfolio theory must address the fact that, in reality, portfolio managers are evaluated relative to a benchmark, and therefore adopt risk management practices to account for the benchmark performance. We capture this risk management consideration by allowing a prespecified shortfall from a target benchmark-linked return, consistent with growing interest in such practice. In a dynamic setting, we demonstrate how a risk averse portfolio manager optimally under- or overperforms a target benchmark under different economic conditions, depending on his attitude towards risk and choice of the benchmark. The analysis therefore illustrates how investors can achieve their desired performance profile for funds under management through an appropriate combined choice of the benchmark and money manager. We consider a variety of extensions, and also highlight the ability of our setting to shed some light on documented return patterns across segments of the money management industry. |
| 主题 | Financial Economics |
| 关键词 | Benchmarking Investments Shortfall risk Tracking error Value-at-risk |
| URL | https://cepr.org/publications/dp5174 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534059 |
| 推荐引用方式 GB/T 7714 | Jean-Pierre Danthine,Andre Kurmann. DP5174 The Macroeconomic Consequences of Reciprocity in Labour Relations. 2005. |
| 条目包含的文件 | 条目无相关文件。 | |||||
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