Download or read book Delegated Portfolio Management Benchmarking and the Effects on Financial Markets written by Ms.Deniz Igan and published by International Monetary Fund. This book was released on 2015-09-08 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt: We analyze the implications of linking the compensation of fund managers to the return of their portfolio relative to that of a benchmark—a common solution to the agency problem in delegated portfolio management. In the presence of such relativeperformance- based objectives, investors have reduced expected utility but markets are typically more informative and deeper. Furthermore, in a multiple asset/market framework we show that (i) relative performance concerns lead to an increase in the correlation between markets (financial contagion); (ii) benchmark inclusion increases price volatility; (iii) home bias emerges as a rational outcome. When information is costly, information acquisition is hindered and this attenuates the effects on informativeness and depth of the market.
Download or read book Herding in Delegated Portfolio Management written by Alexander Guembel and published by . This book was released on 2003 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: We address the issue of investors' asset allocation decisions when portfolio management is delegated to an agent. Contrary to predictions from traditional financial theory, it is shown that investors may not induce their manager to allocate funds to the asset with the highest return. Instead they may herd in their asset allocation decision and induce trade in a particular asset, because another manager is trading in it and despite the presence of a more profitable alternative. Doing so allows investors to write an efficiency-improving relative-performance contract. On the other hand, herding leads investors to design wage contracts strategically, resulting in more aggressive and thus less profitable trade in equilibrium. We show that herding occurs when the cost of information is high, information precision is low and when managers are sufficiently risk averse. Moreover, when investors can decide whether or not to disclose information about their manager's performance, they will not do so.
Download or read book Essays on Delegated Portfolio Management and Optimal Contracting written by Raymond Chi Wai Leung and published by . This book was released on 2016 with total page 234 pages. Available in PDF, EPUB and Kindle. Book excerpt: This dissertation is a compilation of three papers that investigate the role of optimal contracting in a delegated portfolio management setting. While the study of optimal contracts in classical principal-agent setup has been extensively studied, relatively few have been studied in the context of delegated portfolio management in finance. And even delegated portfolio management papers in finance, there are still several open questions and unresolved issues that are beyond the scope of a standard principal-agent problem. In Chapter 1, I study a continuous-time principal-agent problem with drift and stochastic volatility control. While the problem with drift-only control by an agent has been extensively studied recently, very few existing papers allow an agent to endogenously influence volatility. Endogenous volatility control is particularly important in delegated portfolio management settings as volatility is one of the defining aspects of modern financial portfolio management. In Chapter 2, I study a model that encompasses dynamic agency, delegated portfolio management and asset pricing. Traditionally, the fields of ``asset pricing'' and ``corporate finance'' are studied independently of each other. However, as the modern portfolio management industry blooms in size and influence, the role of the portfolio manager and the contracts that are extended to them arguably has a role in the securities that they invest in, and hence in equilibrium, the asset pricing implications of the market overall. This paper is an attempt to bridge ``asset pricing'' and ``corporate finance'' (specifically interpreted to mean delegated portfolio management contracting) into one. In Chapter 3, I study whether a principal investor is better off delegating most of his money to a single portfolio manager (centralized delegation), as opposed to multiple portfolio managers (decentralized delegation), especially when there is the possible presence of moral hazard. With the size of the hedge fund industry and growing empirical support that moral hazard is a growing risk among hedge fund managers, it becomes imperative to understand when an investor decides to delegate his money, should it be delegated in a more centralized or decentralized fashion.
Download or read book Delegated Portfolio Management written by Sudipto Bhattacharya and published by . This book was released on 1983 with total page 29 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Special Issue Delegated Portfolio Management written by and published by . This book was released on 2008 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Delegated Portfolio Management Benchmarking and the Effects on Financial Markets written by Deniz Igan and published by . This book was released on 2015 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Two aspects of the theory of delegated portfolio management written by Lalatendu Misra and published by . This book was released on 1985 with total page 402 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Continuous Time Delegated Portfolio Management with Homogeneous Expectations written by Holger Kraft and published by . This book was released on 2008 with total page pages. Available in PDF, EPUB and Kindle. Book excerpt: In a continuous-time framework, the issue of how to delegate an investor's portfolio decision to a portfolio manager is studied. First, we solve the first-best problem. For the second-best case, a specific quadratic contract is introduced resolving the agency conflict completely in the sense that the solutions to the first-best and second-best problems coincide. This contract can be implemented if the investor is able to observe the value of the growth optimal portfolio at her investment horizon. If the investment opportunity set is assumed to be constant, in equilibrium the value of the market portfolio is a sufficient statistic for the value of the growth optimal portfolio. Throughout the paper, we assume that the investor and the manager have homogeneous expectations about the investment opportunity set. This, however, does not necessarily mean that investor and manager are symmetrically informed about all prices.
Download or read book Essays on Delegated Portfolio Management written by Bernhard Silli and published by . This book was released on 2009 with total page 140 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Essays on Delegated Portfolio Management written by Zhigang Qiu and published by . This book was released on 2011 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Delegated Portfolio Management written by Kerime Babur and published by . This book was released on 2023 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Delegated Portfolio Management Under Ambiguity Aversion written by Annalisa Fabretti and published by . This book was released on 2015 with total page 27 pages. Available in PDF, EPUB and Kindle. Book excerpt: We examine the problem of setting optimal incentives for a portfolio manager hired by an investor who wants to induce ambiguity-robust portfolio choices with respect to estimation errors in expected returns. We consider a one-period model with a set of risky assets (with multivariate normal returns) whose expected returns are estimated with uncertainty and a linear sharing rule between a risk-neutral investor and a risk averse portfolio manager. The manager accepts the contract if the compensation off ered is at least as large as a minimum compensation he determines from his minimum acceptable utility level. Adopting a worst-case max-min approach we obtain in closed-form the optimal compensation in various cases where the investor and the manager, respectively adopt or relinquish an ambiguity averse attitude. We apply our result to compute the compensation fees for an investment strategy restricted by Socially Responsible rules. The application shows, for instance, that the additional premium requested by a manager for restricting the investment set should decrease when the aversion to ambiguity increases.
Download or read book Delegated Portfolio Management written by and published by . This book was released on 2008 with total page 171 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Delegated Portfolio Management written by Livio Stracca and published by . This book was released on 2005 with total page 39 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Attention Cascades and Delegated Portfolio Management written by Yun Ling and published by . This book was released on 2015 with total page 74 pages. Available in PDF, EPUB and Kindle. Book excerpt: This paper studies “attention cascade” in a delegated portfolio management setting. Empirically, “attention cascades” refer to two types of (related) cascade. First, investors would pay more attention to the mutual funds that hold more stocks which have grabbed the investors' attention. Second, mutual fund managers would pay more attention to the stocks that investors have paid attention to. Using the Google search volume index of stock tickers, I construct a fund-level measure of attention. I use fund-level, holding-level, and stock-level analyses to study the implications of cascades on fund flow, performance, managers' skill, trading, and stock prices. I find that both types of cascade exist, but neither facilitates efficient capital allocation.Theoretically, “attention cascade” refers to the fund manager's incentive to pay attention to whatever the investor has paid attention to. It gives a unified framework in which the theoretical attention cascade implies both types of empirical cascade. The model also gives implications on fund flow, performance, and trading to illustrate the capital allocation inefficiency found in the empirical analyses. Finally, the model illustrates that the inefficiency of information acquisition is the fundamental problem for the attention cascade.
Download or read book Herding in Delegated Portfolio Management written by Alexander Gümbel and published by . This book was released on 1998 with total page 35 pages. Available in PDF, EPUB and Kindle. Book excerpt:
Download or read book Asset Pricing Implications of Delegated Portfolio Management and Benchmarking written by Philippe Rohner and published by Cuvillier Verlag. This book was released on 2010-06-11 with total page 210 pages. Available in PDF, EPUB and Kindle. Book excerpt:
