Optimal Centralized Portfolio Construction with Decentralized Portfolio Management
19 Pages Posted: 22 Feb 2002
Date Written: February 2001
Many financial institutions employ outside portfolio managers to manage part or all of their inevitable assets. The purpose of this article is to set up a structure that leads to the optimum portfolio from the viewpoint of the centralized decision maker when there are multiple managers and their portfolios are constructed without reference to each other.
JEL Classification: G0
Suggested Citation: Suggested Citation