What Maximum Fees Should Investors Pay to Active Fund Managers? [extrait BMI 131]
- Write a review
€47.39
Security policy
(edit with the Customer Reassurance module)
Delivery policy
(edit with the Customer Reassurance module)
Return policy
(edit with the Customer Reassurance module)
Version numérique PDF
We develop a model in which investors can invest directly in the market at no cost or delegate their portfolio decisions to better informed active fund managers against fees. We derive the maximal fee an investor should pay and characterize it in terms of information differential or, equivalently, alpha. For example, the fee should be less than 6.60% if alpha is 6.83% over two years, and less than 51.9% if it is 73.3% over 5 years. Our simulation results are consistent with the empirical evidence we report on a large subset of active US mutual funds.JEL Codes: G15; G23; G18.Keywords: Portfolio Delegation; Alpha; Information Differential; Enlarged Filtration; Active Mutual Funds.Auteurs :Ezzili Chekib
Extrait de la revue BMI 131
BMI131-1118395
New
16 other products in the same category:
Availability: Out of stock
Sommaire
Articles
- What Maximum Fees Should Investors Pay to Active Fund Managers?
- How does the Market Price of the Corporate Sponsor React to Socially Responsible Fund Introductions?
- Pricing, Hedging and Assessing Risk in a General Lévy Context
- The Performance Implications of Business Group Affi liation for Small Businesses
- Introducing to Risk Parity and Budgeting
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- Alpha or not Alpha: The Case of the Hedge Fund Industry
- What Happens “Before the Birth” and “After the Death” of a Hedge Fund?
- Hedge Fund Managers: Luck and Dynamic Assessment
- A Time-Varying Performance Evaluation of Hedge Fund Strategies through Aggregation
- Detecting Early Warnings for Hedge Fund Contagion
- Edito
Availability: Out of stock
Sommaire
Articles
- Testing the Profitability of Contrarian Trading Strategies Based on the Overreaction Hypothesis
- Evaluating UCITS Compliant Hedge Fund Performance
- Do Cooperative Banks Have Greater Market Power?
- In which Media are Analysts’ Recommendations most Followed?