Optimum Centralized Portfolio Construction with Decentralized Portfolio Management
针对金融机构使用外部投资经理导致信息不共享的问题，推导出一套规则，使中央决策者无需分散决策者披露证券收益估计即可做出最优决策，并分析了规则的适用条件。
Abstract Many financial institutions employ outside portfolio managers to manage part or all of their investable assets. It is well recognized that outside portfolio managers are unwilling to share security information with each other or with the centralized decision maker and this in general will lead to sub-optimal portfolios. In this paper, we derive an implementable set of rules under which a central decision maker can make optimal decisions without requiring decentralized decision makers to reveal estimates of security returns. Furthermore, we derive conditions under which these rules hold and when they do not hold.