Continuous-time delegated portfolio management with homogeneous expectations: can an agency conflict be avoided?
نویسندگان
چکیده
منابع مشابه
Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem
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...
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ژورنال
عنوان ژورنال: Financial Markets and Portfolio Management
سال: 2007
ISSN: 1934-4554,2373-8529
DOI: 10.1007/s11408-007-0067-1