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

Chen, Hsiu-Lang

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Description

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

Issue Date

1997

Doctoral Committee Chair(s)

Lakonishok, Josef

Department of Study

Finance

Discipline

Finance

Degree Granting Institution

University of Illinois at Urbana-Champaign

Degree Name

Ph.D.

Degree Level

Dissertation

Keyword(s)

Economics, Theory

Language

eng

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.

Graduation Semester

1997

Type of Resource

text

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http://hdl.handle.net/2142/87442

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