- Out-of-Stock
What Maximum Fees Should Investors Pay to Active Fund Managers? [extrait BMI 131]
- Write a review
€50.00
Tax included
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
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Availability: Out of stock
Sommaire
Articles
- Is Rating Associated with Better Retail Funds’ Performance in Changing Market Conditions?
- Estimation Risk versus Optimality Risk:
- The Trading Performance of Individual Investors
- Cash Holdings, Working Capital and Firm Value:
Availability: Out of stock
Sommaire
Articles
- Editor’s letter
- HFT and Market Quality
- On the Financial Performance of Socially Responsible Investments
- Pension Reform in The Netherlands: Attractive Options for other Countries?
- French Pensions Framework in an International Perspective
- Optimal Asset Allocation for Sovereign Wealth Funds: Theory and Practice
- Asset Class Liquidity Risk
Availability: Out of stock