| Titre : | Market power and optimal contract in delegated portfolio management (2011) |
| Auteurs : | Jiliang Sheng, Auteur ; Jun Yang, Auteur |
| Type de document : | Article : texte imprimé |
| Dans : | International journal of management science and engineering management (Vol. 5 N° 6, Décembre 2010) |
| Article en page(s) : | pp.473-480 |
| Note générale : | Management |
| Langues : | Anglais |
| Tags : | Private information Market power Delegated portfolio management Incentive contract Effort cost |
| Résumé : | This article studies the contracting problem between an investor and a professional portfolio manager who possesses market power. The optimal linear contract is obtained in a closed form. When the manager has market power the contract affects the effort level of the manager, which provides a solution to the “non-incentive” result in Stoughton (1993) [30]. The sharing ratio of the portfolio return increases with effort cost, suggesting that a manager with a higher effort cost should be awarded a larger fraction of the investment profit. The sharing ratio also increases with the risk aversion of the portfolio manager. The optimal contract can separate different types of managers since only those with low effort costs would accept a contract when the sharing ratio is given. These findings compliment and extend the results in Stoughton (1993) [30] in which the manager does not have market power. |
| DEWEY : | 658 |
| ISSN : | 1750-9653 |
| En ligne : | http://www.ijmsem.org/OnlineJournal.do/?168.html |
