haku: @indexterm AGENCIES / yhteensä: 177
viite: 26 / 177
| Tekijä: | Palomino, F. Prat, A. |
| Otsikko: | Risk taking and optimal contracts for money managers |
| Lehti: | RAND Journal of Economics
2003 : SPRING, VOL. 34:1, p. 113-137 |
| Asiasana: | Risk management Portfolio management Contracts Agencies Optimization |
| Kieli: | eng |
| Tiivistelmä: | The authors study delegated portfolio management when the agent controls the riskiness of the portfolio. Under general conditions, they show that the optimal contract is simply a bonus contract: the agent is paid a fixed sum if the portfolio return is above a threshold. They derive a criterion to decide whether the optimal contract induces excessive or insufficient risk. If a deviation from efficient risk taking causes a large reduction in the expected return of the portfolio, the optimal contract induces excessive (insufficient) risk. |
SCIMA