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Title:Essay 1. Equity Style Identification. Essay 2. Equity Fund Performance Evaluation: The Importance of Fund Style. Essay 3. A Dynamic Model of Mutual Fund Managers' Investment Strategies
Author(s):Chen, Hsiu-Lang
Doctoral Committee Chair(s):Lakonishok, Josef
Department / Program:Finance
Degree Granting Institution:University of Illinois at Urbana-Champaign
Subject(s):Economics, Theory
Abstract:The third essay presents a continuous time model to describe the optimal investment strategy of money managers. A manager seeks the optimal skill level that has the best trade-off between the portfolio's expected return and its volatility of tracking error. When the time is close to the end of the assessment period, poor performers increase expected returns by raising skill levels but good performers reduce the volatility of returns by decreasing skill levels. In the comparative analyses, a lower skill level is chosen when the contribution to expected return per unit skill level is higher. When group securities is more volatile and thus the tracking error is not easily to be detected, a higher optimal skill level is utilized. Moreover, the convex compensation structure encourages fund managers to utilize higher optimal skill level at any given point in time.
Issue Date:1997
Description:116 p.
Thesis (Ph.D.)--University of Illinois at Urbana-Champaign, 1997.
Other Identifier(s):(MiAaPQ)AAI9737071
Date Available in IDEALS:2015-09-28
Date Deposited:1997

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