Decentralized Portfolio Management
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 there are many tr...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2003-12-01
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| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1130 |