Decentralized Portfolio Management

Article, Preprint OPEN
Paulo Coutinho ; Benjamin Miranda Tabak (2001)
  • Publisher: Brazilian Society of Finance
  • Journal: Revista Brasileira de Finan├žas (issn: 1679-0731, eissn: 1984-5146)
  • Subject: risk aversion | HG1-9999 | portfolio management | Markowitz | Finance
    acm: ComputingMilieux_COMPUTERSANDSOCIETY

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 <i>n</i> different markets, which is called the optimal centralized portfolio. However, as... View more
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