Reward schemes

• 成果类型: Article
• 署名作者: Lagziel, David; Lehrer, Ehud
• 署名单位: Ben-Gurion University of the Negev; Tel Aviv University; INSEAD Business School
• 刊物名称: GAMES AND ECONOMIC BEHAVIOR
• ISSN/ISSBN: 0899-8256
• DOI: 10.1016/j.geb.2017.10.019
• 发表日期: 2018
• 页码: 21-40
• 关键词: Reward schemes; Optimal reward schemes; Investment firms; Investment game; Optimal-strategy equilibrium; market design; Portfolio management

摘要

An investor has some funds invested through portfolio managers. By the end of the year, she reallocates the funds among these managers according to the managers' performance. While the investor tries to maximize her subjective utility (that depends on the total expected earnings), each portfolio manager tries to maximize the overall amount of funds bestowed in his hands to manage. A reward scheme is a rule that determines how funds should be allocated among the managers based on their performance. A reward scheme is optimal if it induces the (self-interested) managers to act in accordance with the interests of the investor. We show that an optimal reward scheme exists under quite general conditions. (C) 2017 Elsevier Inc. All rights reserved.