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Investment Constraints

In: RISK-SENSITIVE INVESTMENT MANAGEMENT

Author

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  • Mark H. A. Davis
  • Sébastien Lleo

Abstract

In the investment models we have considered so far, the fund manager could set the investment policy freely, as long as the allocation to each of the assets remained finite. In practice the situation is different. Fund managers are subject to investment constraints set by regulatory bodies, investors or by the governance structure of the funds. These constraints take the form of minimum and maximum allocations to securities and asset classes as well as upward limits on the amount of leverage the funds are allowed to take…

Suggested Citation

  • Mark H. A. Davis & Sébastien Lleo, 2014. "Investment Constraints," World Scientific Book Chapters, in: RISK-SENSITIVE INVESTMENT MANAGEMENT, chapter 5, pages 89-107, World Scientific Publishing Co. Pte. Ltd..
    • Handle: RePEc:wsi:wschap:9789814578059_0005
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    Cited by:

    1. Dania Judith Aviles Acuña & Felisa Yaerim López Botello, 2023. "Modelo Gleen Doman para fortalecer el pensamiento matemático a través de la práctica docente," Revista de Desarrollo Sustentable, Negocios, Emprendimiento y Educación RILDODS, Servicios Académicos Intercontinentales SL, issue 40, february.

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