Asset pricing under optimal contracts

• 成果类型: Article
• 署名作者: Cvitanic, Jaksa; Xing, Hao
• 署名单位: California Institute of Technology; University of London; London School Economics & Political Science
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2017.10.005
• 发表日期: 2018
• 页码: 142-180
• 关键词: Asset-management; Equilibrium asset pricing; optimal contracts; Principal agent problem

摘要

We consider the problem of finding equilibrium asset prices in a financial market in which a portfolio manager (Agent) invests on behalf of an investor (Principal), who compensates the manager with an optimal contract. We extend a model from Buffa, Vayanos and Woolley (2014) by allowing general contracts, and by allowing the portfolio manager to invest privately in individual risky assets or the index. To alleviate the effect of moral hazard, Agent is optimally compensated by benchmarking to the index, which, however, may incentivize him to be too much of a closet indexer. To counter those incentives, the optimal contract rewards Agent for taking specific risk of individual assets in excess of the systematic risk of the index, by rewarding the deviation between the portfolio return and the return of an index portfolio, and the deviation's quadratic variation. (C) 2017 Elsevier Inc. All rights reserved.