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Delegated Portfolio Management, No Churning, and Relative Performance-Based Incentive/Sorting Schemes

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Author Info
Bhattacharya, S.

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Abstract

We show that optimal delegated portfolio management contracts-which serve to screen out uninformed agents and reward potentially informed agents sufficiently to compensate their opportunity and/or effort costs-need not imply churning, or randomised trading if uninformed, by the able screened agents, despite limited liability for them which limits the amount of screenable heterogeneity among agents.

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Publisher Info
Paper provided by Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. in its series Papers with number 99-22.

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Length: 16 pages
Date of creation: 1999
Date of revision:
Handle: RePEc:fth:pnegmi:99-22

Contact details of provider:
Postal: THEMA, Universite de Paris X-Nanterre, U.F.R. de science economiques, gestion, mathematiques et informatique, 200, avenue de la Republique 92001 Nanterre CEDEX.

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Related research
Keywords: INVESTMENTS ; PORTFOLIO ; FINANCIAL INSTITUTIONS ; STOCK MARKET;

Other versions of this item:

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
G20 - Financial Economics - - Financial Institutions and Services - - - General

Cited by:
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  1. Sandeep Kapur & Allan Timmermann, 2005. "Relative Performance Evaluation Contracts and Asset Market Equilibrium," Birkbeck Working Papers in Economics and Finance 0503, Birkbeck, Department of Economics, Mathematics & Statistics. [Downloadable!]
    Other versions:
  2. Livio Stracca, 2005. "Delegated portfolio management: a survey of the theoretical literature," Working Paper Series 520, European Central Bank. [Downloadable!]
    Other versions:
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