Optimal fund menus
نویسندگان
چکیده
We study the optimal design of a menu funds by manager who is required to use linear pricing and does not observe beliefs investors regarding one risky assets. The involves bundling assets can be constructed from solution calculus variations problem that optimizes over indirect utility each type receives. provide complete characterization show need maintain incentive compatibility leads offer are inefficiently tilted towards asset subject information friction.
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ژورنال
عنوان ژورنال: Mathematical Finance
سال: 2021
ISSN: ['0960-1627', '1467-9965']
DOI: https://doi.org/10.1111/mafi.12341