Portfolio Performance and Agency

• 成果类型: Article
• 署名作者: Dybvig, Philip H.; Farnsworth, Heber K.; Carpenter, Jennifer N.
• 署名单位: Washington University (WUSTL); New York University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhp056
• 发表日期: 2010
• 页码: 1
• 关键词: Moral hazard; management

摘要

In this paper we analyze the optimal contract for a portfolio manager who can exert effort to improve the quality of a private signal about future market prices. We assume complete markets over states distinguished by asset payoffs and place no restrictions on the form of the contract. We show that trading restrictions are essential because they prevent the manager from undoing the incentive effects of performance-based fees. We provide conditions under which simple benchmarking emerges as optimal compensation. Additional incentives to take risk are necessary when information can be manipulated or else the manager will understate information to offset the benchmarking.