Essec\Faculty\Model\Contribution {#2216
  #_index: "academ_contributions"
  #_id: "2153"
  #_source: array:26 [
    "id" => "2153"
    "slug" => "optimal-benchmarking-for-active-portfolio-managers"
    "yearMonth" => "2013-01"
    "year" => "2013"
    "title" => "Optimal Benchmarking for Active Portfolio Managers"
    "description" => "LIOUI, A. et PONCET, P. (2013). Optimal Benchmarking for Active Portfolio Managers. <i>European Journal of Operational Research</i>, 226(1), pp. 268-276."
    "authors" => array:2 [
      0 => array:3 [
        "name" => "PONCET Patrice"
        "bid" => "B00000430"
        "slug" => "poncet-patrice"
      ]
      1 => array:1 [
        "name" => "LIOUI A."
      ]
    ]
    "ouvrage" => ""
    "keywords" => array:6 [
      0 => "Approche martingale"
      1 => "Benchmarking"
      2 => "Fonds mutuels"
      3 => "Modèle principal-agent"
      4 => "Rémunération du gérant"
      5 => "Temps continu"
    ]
    "updatedAt" => "2021-02-02 16:16:18"
    "publicationUrl" => "https://doi.org/10.1016/j.ejor.2012.10.043"
    "publicationInfo" => array:3 [
      "pages" => "268-276"
      "volume" => "226"
      "number" => "1"
    ]
    "type" => array:2 [
      "fr" => "Articles"
      "en" => "Journal articles"
    ]
    "support_type" => array:2 [
      "fr" => "Revue scientifique"
      "en" => "Scientific journal"
    ]
    "countries" => array:2 [
      "fr" => null
      "en" => null
    ]
    "abstract" => array:2 [
      "fr" => "Dans le cadre de la théorie de l’agence, nous résolvons simultanément les programmes d’optimisation de l’investisseur et de son manager de portefeuille et caractérisons le benchmark optimal. Nous en donnons les solutions explicites quand les paramètres d’aversion relative au risque de l’investisseur et du manager sont différents. Il n’est jamais optimal pour le manager et donc l’investisseur de suivre exactement le benchmark. Nous évaluons enfin par simulation l’impact d’une sélection d’un benchmark sous-optimal."
      "en" => "Within an agency theoretic framework, we solve simultaneously the manager’s and the investor’s dynamic optimization programs in a fairly general framework, and characterize the optimal benchmark. We then provide completely explicit solutions when the investor’s and the manager’s utility functions exhibit different CRRA parameters. It is never optimal for the manager, and therefore for the investor, to follow exactly the benchmark. We finally assess by simulation the practical importance of selecting a sub-optimal benchmark."
    ]
    "authors_fields" => array:2 [
      "fr" => "Finance"
      "en" => "Finance"
    ]
    "indexedAt" => "2024-12-22T02:21:49.000Z"
    "docTitle" => "Optimal Benchmarking for Active Portfolio Managers"
    "docSurtitle" => "Journal articles"
    "authorNames" => "<a href="/cv/poncet-patrice">PONCET Patrice</a>, LIOUI A."
    "docDescription" => "<span class="document-property-authors">PONCET Patrice, LIOUI A.</span><br><span class="document-property-authors_fields">Finance</span> | <span class="document-property-year">2013</span>"
    "keywordList" => "<a href="#">Approche martingale</a>, <a href="#">Benchmarking</a>, <a href="#">Fonds mutuels</a>, <a href="#">Modèle principal-agent</a>, <a href="#">Rémunération du gérant</a>, <a href="#">Temps continu</a>"
    "docPreview" => "<b>Optimal Benchmarking for Active Portfolio Managers</b><br><span>2013-01 | Journal articles </span>"
    "docType" => "research"
    "publicationLink" => "<a href="https://doi.org/10.1016/j.ejor.2012.10.043" target="_blank">Optimal Benchmarking for Active Portfolio Managers</a>"
  ]
  +lang: "en"
  +"_type": "_doc"
  +"_score": 9.341836
  +"parent": null
}