Optimal Centralized Portfolio Construction with Decentralized Portfolio Management

19 Pages Posted: 22 Feb 2002

See all articles by Edwin J. Elton

Edwin J. Elton

New York University (NYU) - Department of Finance

Martin J. Gruber

New York University (NYU) - Department of Finance

Date Written: February 2001

Abstract

Many financial institutions employ outside portfolio managers to manage part or all of their inevitable assets. The purpose of this article is to set up a structure that leads to the optimum portfolio from the viewpoint of the centralized decision maker when there are multiple managers and their portfolios are constructed without reference to each other.

JEL Classification: G0

Suggested Citation

Elton, Edwin J. and Gruber, Martin J., Optimal Centralized Portfolio Construction with Decentralized Portfolio Management (February 2001). Available at SSRN: https://ssrn.com/abstract=300240 or http://dx.doi.org/10.2139/ssrn.300240

Edwin J. Elton

New York University (NYU) - Department of Finance ( email )

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Martin J. Gruber (Contact Author)

New York University (NYU) - Department of Finance ( email )

44 West 4th Street
Ste 9-190
New York, NY 10012-1126
United States
212-998-0333 (Phone)
212-995-4233 (Fax)

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