Decentralized portfolio management
Autor(a) principal: | |
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Data de Publicação: | 2003 |
Outros Autores: | |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Institucional da UCB |
Texto Completo: | http://twingo.ucb.br:8080/jspui/handle/10869/615 https://repositorio.ucb.br:9443/jspui/handle/123456789/7783 |
Resumo: | We use a mean-variance model to analyze the problem of decentralized portfolio management. We find the solution for the optimal portfolio allocation for a head trader operating in n different markets, which is called the optimal centralized portfolio. However, as there are many traders specialized in different markets, the solution to the problem of optimal decentralized allocation should be different from the centralized case. In this paper we derive conditions for the solutions to be equivalent. We use multivariate normal returns and a negative exponential function to solve the problem analytically. We generate the equivalence of solutions by assuming that different traders face different interest rates for borrowing and lending. This interest rate is dependent on the ratio of the degrees of risk aversion of the trader and the head trader, on the excess return, and on the correlation between asset returns. |
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Coutinho, PauloTabak, Benjamin Miranda2016-10-10T03:52:39Z2016-10-10T03:52:39Z2003-12COUTINHO , Paulo; TABAK, Benjamin Miranda. Decentralized Portfolio Management. Revista Brasileira de Finanças, v. 1, n. 2, p. 243-270, 2003.http://twingo.ucb.br:8080/jspui/handle/10869/615https://repositorio.ucb.br:9443/jspui/handle/123456789/7783We use a mean-variance model to analyze the problem of decentralized portfolio management. We find the solution for the optimal portfolio allocation for a head trader operating in n different markets, which is called the optimal centralized portfolio. However, as there are many traders specialized in different markets, the solution to the problem of optimal decentralized allocation should be different from the centralized case. In this paper we derive conditions for the solutions to be equivalent. We use multivariate normal returns and a negative exponential function to solve the problem analytically. We generate the equivalence of solutions by assuming that different traders face different interest rates for borrowing and lending. This interest rate is dependent on the ratio of the degrees of risk aversion of the trader and the head trader, on the excess return, and on the correlation between asset returns.Made available in DSpace on 2016-10-10T03:52:39Z (GMT). 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dc.title.pt_BR.fl_str_mv |
Decentralized portfolio management |
title |
Decentralized portfolio management |
spellingShingle |
Decentralized portfolio management Coutinho, Paulo risk aversion portfolio management Markowitz |
title_short |
Decentralized portfolio management |
title_full |
Decentralized portfolio management |
title_fullStr |
Decentralized portfolio management |
title_full_unstemmed |
Decentralized portfolio management |
title_sort |
Decentralized portfolio management |
author |
Coutinho, Paulo |
author_facet |
Coutinho, Paulo Tabak, Benjamin Miranda |
author_role |
author |
author2 |
Tabak, Benjamin Miranda |
author2_role |
author |
dc.contributor.author.fl_str_mv |
Coutinho, Paulo Tabak, Benjamin Miranda |
dc.subject.por.fl_str_mv |
risk aversion portfolio management Markowitz |
topic |
risk aversion portfolio management Markowitz |
dc.description.abstract.por.fl_txt_mv |
We use a mean-variance model to analyze the problem of decentralized portfolio management. We find the solution for the optimal portfolio allocation for a head trader operating in n different markets, which is called the optimal centralized portfolio. However, as there are many traders specialized in different markets, the solution to the problem of optimal decentralized allocation should be different from the centralized case. In this paper we derive conditions for the solutions to be equivalent. We use multivariate normal returns and a negative exponential function to solve the problem analytically. We generate the equivalence of solutions by assuming that different traders face different interest rates for borrowing and lending. This interest rate is dependent on the ratio of the degrees of risk aversion of the trader and the head trader, on the excess return, and on the correlation between asset returns. |
dc.description.version.pt_BR.fl_txt_mv |
Sim |
dc.description.status.pt_BR.fl_txt_mv |
Publicado |
description |
We use a mean-variance model to analyze the problem of decentralized portfolio management. We find the solution for the optimal portfolio allocation for a head trader operating in n different markets, which is called the optimal centralized portfolio. However, as there are many traders specialized in different markets, the solution to the problem of optimal decentralized allocation should be different from the centralized case. In this paper we derive conditions for the solutions to be equivalent. We use multivariate normal returns and a negative exponential function to solve the problem analytically. We generate the equivalence of solutions by assuming that different traders face different interest rates for borrowing and lending. This interest rate is dependent on the ratio of the degrees of risk aversion of the trader and the head trader, on the excess return, and on the correlation between asset returns. |
publishDate |
2003 |
dc.date.issued.fl_str_mv |
2003-12 |
dc.date.accessioned.fl_str_mv |
2016-10-10T03:52:39Z |
dc.date.available.fl_str_mv |
2016-10-10T03:52:39Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
status_str |
publishedVersion |
format |
article |
dc.identifier.citation.fl_str_mv |
COUTINHO , Paulo; TABAK, Benjamin Miranda. Decentralized Portfolio Management. Revista Brasileira de Finanças, v. 1, n. 2, p. 243-270, 2003. |
dc.identifier.uri.fl_str_mv |
http://twingo.ucb.br:8080/jspui/handle/10869/615 https://repositorio.ucb.br:9443/jspui/handle/123456789/7783 |
identifier_str_mv |
COUTINHO , Paulo; TABAK, Benjamin Miranda. Decentralized Portfolio Management. Revista Brasileira de Finanças, v. 1, n. 2, p. 243-270, 2003. |
url |
http://twingo.ucb.br:8080/jspui/handle/10869/615 https://repositorio.ucb.br:9443/jspui/handle/123456789/7783 |
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eng |
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eng |
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openAccess |
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