Published April 2022
| Accepted Version
Journal Article
Open
Optimal fund menus
- Creators
-
Cvitanić, Jakša
-
Hugonnier, Julien
Chicago
An error occurred while generating the citation.
Abstract
We study the optimal design of a menu of funds by a manager who is required to use linear pricing and does not observe the beliefs of investors regarding one of the risky assets. The optimal menu involves bundling of assets and can be constructed from the solution to a calculus of variations problem that optimizes over the indirect utility that each type receives. We provide a complete characterization of the optimal menu and show that the need to maintain incentive compatibility leads the manager to offer funds that are inefficiently tilted towards the asset that is not subject to the information friction.
Additional Information
© 2021 Wiley Periodicals LLC. Issue Online: 14 March 2022; Version of Record online: 03 December 2021; Manuscript accepted: 09 November 2021; Manuscript received: 14 August 2019. This work was initiated during a visit of Jakša Cvitanić to EPFL in the context of the special semester on Stochastic Dynamic Models in Mathematical Finance, Econometrics, and Actuarial Sciences organized by the Centre International Bernoulli in the Spring of 2017. We thank Jonathan Berk, Ryan Donnely, Federico Echenique, Ruediger Fahlenbrach, Damir Filipovic, Benjamin Hebert, Daniel Kuhn, Semyon Malamud, Yaroslav Melnyk, Erwan Morellec, Chris Rogers, and seminar participants at Cambridge, the University of Southern California, Boston University, and CalTech for conversations on the topic of this paper. Research Funding: NSF, Division of Mathematical Sciences. Grant Number: 1810807.Attached Files
Accepted Version - OFM-MAFI-Final.pdf
Files
OFM-MAFI-Final.pdf
Files
(578.0 kB)
| Name | Size | Download all |
|---|---|---|
|
md5:8abe8b699b677d7f4393072b352f4679
|
578.0 kB | Preview Download |
Additional details
- Eprint ID
- 112241
- Resolver ID
- CaltechAUTHORS:20211207-155923022
- NSF
- DMS-1810807
- Created
-
2021-12-07Created from EPrint's datestamp field
- Updated
-
2022-03-28Created from EPrint's last_modified field