This paper studies the optimal portfolio allocation of a fund manager when he bases decisions on both the absolute level of terminal relative performance and the change value of terminal relative performance compariso...This paper studies the optimal portfolio allocation of a fund manager when he bases decisions on both the absolute level of terminal relative performance and the change value of terminal relative performance comparison to a predefined reference point. We find the optimal investment strategy by maximizing a weighted average utility of a concave utility and an Sshaped utility via a concavification technique and the martingale method. Numerical results are carried out to show the impact of the extent to which the manager pays attention to the change of relative performance related to the reference point on the optimal terminal relative performance.展开更多
基金Supported by the National Natural Science Foundation of China(12071335)the Humanities and Social Science Research Projects in Ministry of Education(20YJAZH025).
文摘This paper studies the optimal portfolio allocation of a fund manager when he bases decisions on both the absolute level of terminal relative performance and the change value of terminal relative performance comparison to a predefined reference point. We find the optimal investment strategy by maximizing a weighted average utility of a concave utility and an Sshaped utility via a concavification technique and the martingale method. Numerical results are carried out to show the impact of the extent to which the manager pays attention to the change of relative performance related to the reference point on the optimal terminal relative performance.
