Seminar: Optimal Fund Menus
September 18 @ 2:00 pm - 3:00 pm CDT
Speaker: Jakša Cvitanić, Caltech Humanities and Social Sciences
Abstract: We study the optimal design of a menu of funds by a manager who is required to use linear pricing and does not observe the beliefs of investors regarding one of the risky assets. The optimal menu involves bundling of assets and can be constructed from the solution to a calculus of variations problem that optimizes over the indirect utility that each type receives. We provide a complete characterization of the optimal menu and show that the need to maintain incentive compatibility leads the manager to offer funds that are inefficiently tilted towards the asset that is not subject to the information friction.
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https://texastech.zoom.us/j/3067000354?pwd=S0nCdfz1Ue6kOR9aBFgx67IEXPuNZd.1&omn=92056236741
Meeting ID: 306 700 0354
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