Delegated Portfolio Management, No Churning, and Relative Performance-Based Incentive/Sorting Schemes
AbstractWe 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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Bibliographic InfoPaper provided by Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor. in its series Papers with number 99-22.
Length: 16 pages
Date of creation: 1999
Date of revision:
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.
INVESTMENTS ; PORTFOLIO ; FINANCIAL INSTITUTIONS ; STOCK MARKET;
Other versions of this item:
- S. Bhattacharya, 1999. "Delegated portfolio management, no churning, and relative performance-based incentive/sorting schemes," THEMA Working Papers 99-22, THEMA (THéorie Economique, Modélisation et Applications), Université de Cergy-Pontoise.
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G20 - Financial Economics - - Financial Institutions and Services - - - General
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- Sandeep Kapur & Allan Timmermann, 2004.
"Relative Performance Evaluation Contracts and Asset Market Equilibrium,"
- Sandeep Kapur & Allan Timmermann, 2005. "Relative Performance Evaluation Contracts and Asset Market Equilibrium," Economic Journal, Royal Economic Society, vol. 115(506), pages 1077-1102, October.
- Kapur, Sandeep & Timmermann, Allan G, 2003. "Relative Performance Evaluation Contracts and Asset Market Equilibrium," CEPR Discussion Papers 4038, C.E.P.R. Discussion Papers.
- 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.
- Sandeep Kapur & Allan Timmermann, 2004. "Relative Performance Evaluation Contracts and Asset Market Equilibrium," Finance 0408001, EconWPA.
- Stracca, Livio, 2005.
"Delegated portfolio management: a survey of the theoretical literature,"
Working Paper Series
0520, European Central Bank.
- Livio Stracca, 2006. "Delegated Portfolio Management: A Survey Of The Theoretical Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 20(5), pages 823-848, December.
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