haku: @author Ferguson, R. / yhteensä: 11
viite: 2 / 11
| Tekijä: | Ferguson, R. Leistikow, D. |
| Otsikko: | Valuing Active Managers, Fees, and Fund Discounts |
| Lehti: | Financial Analysts' Journal
2001 : MAY-JUN, VOL. 57:3, p. 52-62 |
| Asiasana: | MANAGERS FUNDS VALUATION PORTFOLIO MANAGEMENT |
| Kieli: | eng |
| Tiivistelmä: | The authors use risk-neutral valuation to value a portfolio and decompose the value into the components accruing to its stakeholders-service providers, portfolio managers, and the owners. The analysis incorporates managers' expected performance and contract-renewal issues. It provides a paradigm for valuing active portfolio management. A managed portfolio's economic value is shown to differ from its net asset value. The article provides an improved foundation for computing fair closed-end fund discounts and a partial explanation of equilibrium in the markets for open- and closed-end mutual funds. The article implies that changes in closed-end fund discounts are the analog of open-end fund inflows. It also shows that closed-end fund discounts are relatively sensitive to small changes in anticipated fund performance. |
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