Market power and optimal contract in delegated portfolio management / Jiliang Sheng in International journal of management science and engineering management, Vol. 5 N° 6 (Décembre 2010)  

Public ISBD [article]  inInternational journal of management science and engineering management > Vol. 5 N° 6 (Décembre 2010) . - pp.473-480 Titre : Market power and optimal contract in delegated portfolio management Type de document : texte imprimé Auteurs : Jiliang Sheng, Auteur ; Jun Yang, Auteur Année de publication : 2011 Article en page(s) : pp.473-480 Note générale : Management Langues : Anglais (eng) Mots-clés : 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 [article] Market power and optimal contract in delegated portfolio management [texte imprimé] / Jiliang Sheng, Auteur ; Jun Yang, Auteur . - 2011 . - pp.473-480. Management Langues : Anglais (eng) in International journal of management science and engineering management > Vol. 5 N° 6 (Décembre 2010) . - pp.473-480 Mots-clés : 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

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