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Delegated portfolio management and optimal allocation of portfolio managers

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  • Michael Christensen
  • Michael Vangsgaard Christensen
  • Ken Gamskjaer

Abstract

In this article, we investigate whether the application of the mean-variance framework on portfolio manager allocation offers any out-of-sample benefits compared to a naﶥ strategy of equal weighting. Based on an exclusive data-set of high-net-worth (HNW) investors, we utilize a wide variety of methodologies to estimate the input parameters including exponentially weighted moving average (EWMA), generalized autoregressive conditional heteroscedasticity (GARCH) and Bayes-Stein shrinkage estimation. We apply nine different mean-variance models, but find that none of these present any consistent benefit over a naﶥ strategy of equal weighting.

Suggested Citation

  • Michael Christensen & Michael Vangsgaard Christensen & Ken Gamskjaer, 2015. "Delegated portfolio management and optimal allocation of portfolio managers," Applied Economics, Taylor & Francis Journals, vol. 47(21), pages 2142-2153, May.
    • Handle: RePEc:taf:applec:v:47:y:2015:i:21:p:2142-2153
    DOI: 10.1080/00036846.2015.1005811
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