Optimal contracts in a continuous-time delegated portfolio management problem

• 成果类型: Article
• 署名作者: Hui, OY
• 署名单位: Duke University; University of North Carolina; University of North Carolina Chapel Hill
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/16.1.173
• 发表日期: 2003
• 页码: 173
• 关键词: MUTUAL FUND PERFORMANCE; consumption; incentives; COMPENSATION; persistence; benchmarks; linearity; policies; MARKETS; utility

摘要

This article studies the contracting problem between an individual investor and a professional portfolio manager in a continuous-time principal-agent framework. Optimal contracts are obtained in closed form. These contracts are of a symmetric form and suggest that a portfolio manager should receive a fixed fee, a fraction of the total assets under management, plus a bonus or a penalty depending upon the portfolio's excess return relative to a benchmark portfolio. The appropriate benchmark portfolio is an active index that contains risky assets where the number of shares invested in each asset can vary over time, rather than a passive index in which the number of shares invested in each asset remains constant over time.