메뉴 건너뛰기




Volumn 16, Issue 1, 2003, Pages 173-208

Optimal Contracts in a Continuous-Time Delegated Portfolio Management Problem

Author keywords

[No Author keywords available]

Indexed keywords


EID: 0037270159     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/16.1.0173     Document Type: Article
Times cited : (146)

References (67)
  • 1
    • 0009164330 scopus 로고    scopus 로고
    • The Performance of Hedge Funds: Risk, Return and Incentives
    • Ackermann, C., R. McEnally, and D. Ravenscraft, 2000, "The Performance of Hedge Funds: Risk, Return and Incentives," Journal of Finance, 54, 833-874.
    • (2000) Journal of Finance , vol.54 , pp. 833-874
    • Ackermann, C.1    McEnally, R.2    Ravenscraft, D.3
  • 2
    • 0041111263 scopus 로고    scopus 로고
    • Does It All Add Up? Benchmarks and the Compensation of Active Portfolio Managers
    • Admati, A. R., and P. Pfleiderer, 1997, "Does It All Add Up? Benchmarks and the Compensation of Active Portfolio Managers," Journal of Business, 70, 323-350.
    • (1997) Journal of Business , vol.70 , pp. 323-350
    • Admati, A.R.1    Pfleiderer, P.2
  • 3
    • 1342325116 scopus 로고
    • The Market for Information and the Origin of Financial Intermediation
    • Allen, F., 1990, "The Market for Information and the Origin of Financial Intermediation," Journal of Financial Intermediation, 1, 3-30.
    • (1990) Journal of Financial Intermediation , vol.1 , pp. 3-30
    • Allen, F.1
  • 4
    • 0040289946 scopus 로고    scopus 로고
    • Do Financial Institutions Matter?
    • Allen, F., 2001, "Do Financial Institutions Matter?" Journal of Finance, 56, 1165-1175.
    • (2001) Journal of Finance , vol.56 , pp. 1165-1175
    • Allen, F.1
  • 7
    • 0344970395 scopus 로고    scopus 로고
    • Optimal Incentive Contracts When Agents Can Save, Borrow, and Default
    • Bizer, D., and P. DeMarzo, 1999, "Optimal Incentive Contracts When Agents Can Save, Borrow, and Default," Journal of Financial Intermediation, 8, 241-269.
    • (1999) Journal of Financial Intermediation , vol.8 , pp. 241-269
    • Bizer, D.1    DeMarzo, P.2
  • 8
    • 0344107913 scopus 로고    scopus 로고
    • The Continuous-Time Principal-Agent Problems: First-Best Risk Sharing Contracts and their Decentralization
    • Cambridge University and Princeton University
    • Bolton, P., and C. Harris, 1997, "The Continuous-Time Principal-Agent Problems: First-Best Risk Sharing Contracts and their Decentralization," working paper, Cambridge University and Princeton University.
    • (1997) Working Paper
    • Bolton, P.1    Harris, C.2
  • 9
    • 0004052293 scopus 로고
    • Agency and Asset Pricing
    • University of California, Los Angeles
    • Brennan, M. J., 1993, "Agency and Asset Pricing," working paper, University of California, Los Angeles.
    • (1993) Working Paper
    • Brennan, M.J.1
  • 10
    • 0011063897 scopus 로고    scopus 로고
    • Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry
    • Brown, K. C., W. V. Harlow, and L. T. Starks, 1996, "Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry," Journal of Finance, 51, 85-110.
    • (1996) Journal of Finance , vol.51 , pp. 85-110
    • Brown, K.C.1    Harlow, W.V.2    Starks, L.T.3
  • 12
    • 0142189401 scopus 로고    scopus 로고
    • Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs
    • New York University and Yale University
    • Brown, S. J., W. N. Goetzmann, and J. Park, 1997, "Conditions for Survival: Changing Risk and the Performance of Hedge Fund Managers and CTAs," working paper, New York University and Yale University.
    • (1997) Working Paper
    • Brown, S.J.1    Goetzmann, W.N.2    Park, J.3
  • 13
    • 0002624840 scopus 로고    scopus 로고
    • On Persistence in Mutual Fund Performance
    • Carhart, M. M., 1997, "On Persistence in Mutual Fund Performance," Journal of Finance, 52, 57-82.
    • (1997) Journal of Finance , vol.52 , pp. 57-82
    • Carhart, M.M.1
  • 14
    • 0040141569 scopus 로고    scopus 로고
    • Does Option Compensation Increase Managerial Risk Appetite?
    • Carpenter, J. I., 2000, "Does Option Compensation Increase Managerial Risk Appetite?" Journal of Finance, 55, 2311-2331.
    • (2000) Journal of Finance , vol.55 , pp. 2311-2331
    • Carpenter, J.I.1
  • 15
    • 0012232250 scopus 로고    scopus 로고
    • Does Prior Performance Affect a Mutual Fund's Choice of Risk? Theory and Further Empirical Evidence
    • University of Illinois at Chicago and Urbana-Champaign
    • Chen, H. L., and G. Pennacchi, 2000, "Does Prior Performance Affect a Mutual Fund's Choice of Risk? Theory and Further Empirical Evidence," working paper, University of Illinois at Chicago and Urbana-Champaign.
    • (2000) Working Paper
    • Chen, H.L.1    Pennacchi, G.2
  • 17
    • 0000105395 scopus 로고
    • Estimation Risk and Incentive Contracts for Portfolio Managers
    • Cohen, S. I., and L. T. Starks, 1988, "Estimation Risk and Incentive Contracts for Portfolio Managers," Management Science, 34, 1067-1079.
    • (1988) Management Science , vol.34 , pp. 1067-1079
    • Cohen, S.I.1    Starks, L.T.2
  • 18
    • 0344970403 scopus 로고    scopus 로고
    • Option-like Contracts for Project Selection and Production
    • Boston College
    • Core, J., and J. Qian, 2001, "Option-like Contracts for Project Selection and Production," working paper, Boston College.
    • (2001) Working Paper
    • Core, J.1    Qian, J.2
  • 19
    • 0002720622 scopus 로고
    • Optimal Consumption and Portfolio Policies When Assets Follow a Diffusion Process
    • Cox, J., and C.-F. Huang, 1989, "Optimal Consumption and Portfolio Policies When Assets Follow a Diffusion Process," Journal of Economic Theory, 49, 33-83.
    • (1989) Journal of Economic Theory , vol.49 , pp. 33-83
    • Cox, J.1    Huang, C.-F.2
  • 20
    • 0003317522 scopus 로고
    • A Variational Problem Arising in Financial Economics with an Application to a Portfolio Turnpike Theorem
    • Cox, J., and C.-F. Huang, 1991, "A Variational Problem Arising in Financial Economics with an Application to a Portfolio Turnpike Theorem," Journal of Mathematical Economics, 20, 465-488.
    • (1991) Journal of Mathematical Economics , vol.20 , pp. 465-488
    • Cox, J.1    Huang, C.-F.2
  • 21
    • 33847554918 scopus 로고
    • The Valuation of Options for Alternative Stochastic Processes
    • Cox, J., and S. A. Ross, 1976, "The Valuation of Options for Alternative Stochastic Processes," Journal of Financial Economics, 3, 145-166.
    • (1976) Journal of Financial Economics , vol.3 , pp. 145-166
    • Cox, J.1    Ross, S.A.2
  • 22
    • 0039178227 scopus 로고    scopus 로고
    • General Equilibrium Implications of Fund Managers' Compensation Fees
    • University of Pennsylvania and University of Texas at Austin
    • Cuoco, D., and R. Kaniel, 2000, "General Equilibrium Implications of Fund Managers' Compensation Fees," working paper, University of Pennsylvania and University of Texas at Austin.
    • (2000) Working Paper
    • Cuoco, D.1    Kaniel, R.2
  • 23
    • 0344107905 scopus 로고    scopus 로고
    • On the Regulation of Mutual Fund Fee Structure
    • Harvard University and New York University
    • Das, S., and R. Sundaram, 1998, "On the Regulation of Mutual Fund Fee Structure," working paper, Harvard University and New York University.
    • (1998) Working Paper
    • Das, S.1    Sundaram, R.2
  • 24
    • 0344539382 scopus 로고    scopus 로고
    • Optimal Contracts and Intertemporal Incentives with Hidden Actions
    • Boston University
    • Detemple, J., S. Govindaraj, and M. Loewenstein, 2001, "Optimal Contracts and Intertemporal Incentives with Hidden Actions," working paper, Boston University.
    • (2001) Working Paper
    • Detemple, J.1    Govindaraj, S.2    Loewenstein, M.3
  • 25
    • 0012321955 scopus 로고    scopus 로고
    • Noise Trading, Delegated Portfolio Management, and Economic Welfare
    • Dow, J., and G. Gorton, 1997, "Noise Trading, Delegated Portfolio Management, and Economic Welfare," Journal of Political Economy, 105, 1024-1050.
    • (1997) Journal of Political Economy , vol.105 , pp. 1024-1050
    • Dow, J.1    Gorton, G.2
  • 27
    • 24044461231 scopus 로고    scopus 로고
    • Portfolio Performance and Agency
    • Washington University in Saint Louis
    • Dybvig, P., H. K. Farnsworth, and J. N. Carpenter, 2000, "Portfolio Performance and Agency," working paper, Washington University in Saint Louis.
    • (2000) Working Paper
    • Dybvig, P.1    Farnsworth, H.K.2    Carpenter, J.N.3
  • 28
    • 0040597705 scopus 로고
    • Agency and the Market for Mutual Fund Managers: The Principle of Preference Similarity
    • Carnegie-Mellon University and Washington University in Saint Louis
    • Dybvig, P., and C. Spatt, 1986, "Agency and the Market for Mutual Fund Managers: The Principle of Preference Similarity," working paper, Carnegie-Mellon University and Washington University in Saint Louis.
    • (1986) Working Paper
    • Dybvig, P.1    Spatt, C.2
  • 29
    • 21144474059 scopus 로고
    • Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios
    • Elton, E. J., M. Gruber, S. Das, and M. Hlavka, 1993, "Efficiency with Costly Information: A Reinterpretation of Evidence from Managed Portfolios," Review of Financial Studies, 6, 1-22.
    • (1993) Review of Financial Studies , vol.6 , pp. 1-22
    • Elton, E.J.1    Gruber, M.2    Das, S.3    Hlavka, M.4
  • 30
    • 0031519866 scopus 로고    scopus 로고
    • Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds
    • Fung, W., and D. Hsieh, 1997, "Empirical Characteristics of Dynamic Trading Strategies: The Case of Hedge Funds," Review of Financial Studies, 10, 275-302.
    • (1997) Review of Financial Studies , vol.10 , pp. 275-302
    • Fung, W.1    Hsieh, D.2
  • 31
    • 0344107907 scopus 로고    scopus 로고
    • Incomplete Contracts in Investment Models
    • Dartmouth College
    • Garcia, D., 2000a, "Incomplete Contracts in Investment Models, " working paper, Dartmouth College.
    • (2000) Working Paper
    • Garcia, D.1
  • 32
    • 75449099855 scopus 로고    scopus 로고
    • Optimal Menus of Linear Contracts in Portfolio Selection Models
    • Dartmouth College
    • Garcia, D., 2000b, "Optimal Menus of Linear Contracts in Portfolio Selection Models," working paper, Dartmouth College.
    • (2000) Working Paper
    • Garcia, D.1
  • 33
    • 0344970396 scopus 로고    scopus 로고
    • Delegated Monitoring of Fund Managers: An Economic Rationale
    • University of Pennsylvania
    • Gervais, S., A. W. Lynch, and D. K. Musto, 1999, "Delegated Monitoring of Fund Managers: An Economic Rationale," working paper, University of Pennsylvania.
    • (1999) Working Paper
    • Gervais, S.1    Lynch, A.W.2    Musto, D.K.3
  • 35
    • 84959722232 scopus 로고
    • Empirical Tests of a Principal-Agent Model of the Investment Advisor Relation
    • Golec, J. H., 1992, "Empirical Tests of a Principal-Agent Model of the Investment Advisor Relation," Journal of Financial and Quantitative Analysis, 27, 91-95.
    • (1992) Journal of Financial and Quantitative Analysis , vol.27 , pp. 91-95
    • Golec, J.H.1
  • 36
    • 0041024475 scopus 로고    scopus 로고
    • How Are Large Institutions Different from Other Investors? Why Do These Differences Matter for Equity Prices and Returns?
    • Harvard University
    • Gompers, P. A., and A. Metrick, 1998, "How Are Large Institutions Different from Other Investors? Why Do These Differences Matter for Equity Prices and Returns?" working paper, Harvard University.
    • (1998) Working Paper
    • Gompers, P.A.1    Metrick, A.2
  • 37
    • 0013155095 scopus 로고
    • Adverse Risk Incentives and the Design of Performance-Based Contracts
    • Grinblatt, M., and S. Titman, 1989, "Adverse Risk Incentives and the Design of Performance-Based Contracts," Management Science, 35, 807-822.
    • (1989) Management Science , vol.35 , pp. 807-822
    • Grinblatt, M.1    Titman, S.2
  • 38
    • 21144478549 scopus 로고
    • Performance Measurement Without Benchmarks: An Examination of Mutual Fund Returns
    • Grinblatt, M., and S. Titman, 1993, "Performance Measurement Without Benchmarks: An Examination of Mutual Fund Returns," Journal of Business, 66, 47-68.
    • (1993) Journal of Business , vol.66 , pp. 47-68
    • Grinblatt, M.1    Titman, S.2
  • 39
    • 0039056269 scopus 로고    scopus 로고
    • Another Puzzle: The Growth in Actively Managed Mutual Funds
    • Gruber, M. J., 1996, "Another Puzzle: The Growth in Actively Managed Mutual Funds," Journal of Finance, 51, 783-810.
    • (1996) Journal of Finance , vol.51 , pp. 783-810
    • Gruber, M.J.1
  • 40
    • 38649141305 scopus 로고
    • Martingales and Arbitrage in Multiperiod Securities Markets
    • Harrison, M., and D. Kreps, 1979, "Martingales and Arbitrage in Multiperiod Securities Markets," Journal of Economic Theory, 20, 381-408.
    • (1979) Journal of Economic Theory , vol.20 , pp. 381-408
    • Harrison, M.1    Kreps, D.2
  • 41
    • 0000985905 scopus 로고
    • Consumption and Portfolio Policies with Incomplete Markets
    • He, H., and N. Pearson, 1991, "Consumption and Portfolio Policies with Incomplete Markets," Journal of Economic Theory, 54, 259-305.
    • (1991) Journal of Economic Theory , vol.54 , pp. 259-305
    • He, H.1    Pearson, N.2
  • 42
    • 21344497569 scopus 로고
    • The Dynamics of Portfolio Management Contracts
    • Heinkel, R., and N. M. Stoughton, 1994, "The Dynamics of Portfolio Management Contracts," Review of Financial Studies, 7, 351-387.
    • (1994) Review of Financial Studies , vol.7 , pp. 351-387
    • Heinkel, R.1    Stoughton, N.M.2
  • 43
    • 0000871877 scopus 로고
    • Aggregation and Linearity in the Provision of Intertemporal Incentives
    • Holmström, B., and P. Milgrom, 1987, "Aggregation and Linearity in the Provision of Intertemporal Incentives," Econometrica, 55, 303-328.
    • (1987) Econometrica , vol.55 , pp. 303-328
    • Holmström, B.1    Milgrom, P.2
  • 45
    • 85016230381 scopus 로고    scopus 로고
    • Incentives for Money Managers Under Endogenous Risk Choice
    • University of Chicago
    • Jiang, W., 2000, "Incentives for Money Managers Under Endogenous Risk Choice," working paper, University of Chicago.
    • (2000) Working Paper
    • Jiang, W.1
  • 46
    • 0023455980 scopus 로고
    • Optimal Portfolio and Consumption Decision for a 'Small Investor' on a Finite Horizon
    • Karatzas, I., I. Lehoczky, and S. Shreve, 1987, "Optimal Portfolio and Consumption Decision for a 'Small Investor' on a Finite Horizon," SIAM Journal of Control and Optimization, 25, 1157-1186.
    • (1987) SIAM Journal of Control and Optimization , vol.25 , pp. 1157-1186
    • Karatzas, I.1    Lehoczky, I.2    Shreve, S.3
  • 49
    • 0009066758 scopus 로고
    • Optimal Contracts for Security Analysts and Portfolio Managers
    • Kihlstrom, R., 1988, "Optimal Contracts for Security Analysts and Portfolio Managers," Studies in Banking and Finance, 5, 291-325.
    • (1988) Studies in Banking and Finance , vol.5 , pp. 291-325
    • Kihlstrom, R.1
  • 51
    • 84959809692 scopus 로고
    • Optimal Risk Sharing and the Leasing of Natural Resources, with Application to Oil and Gas Leasing on the OCS
    • Leland, H., 1978, "Optimal Risk Sharing and the Leasing of Natural Resources, with Application to Oil and Gas Leasing on the OCS," Quarterly Journal of Economics, 92, 413-437.
    • (1978) Quarterly Journal of Economics , vol.92 , pp. 413-437
    • Leland, H.1
  • 52
    • 0142077697 scopus 로고    scopus 로고
    • Understanding Fee Structures in the Asset Management Business
    • New York University and University of Pennsylvania
    • Lynch, A., and D. Musto, 1997, "Understanding Fee Structures in the Asset Management Business," working paper, New York University and University of Pennsylvania.
    • (1997) Working Paper
    • Lynch, A.1    Musto, D.2
  • 53
    • 28244456970 scopus 로고    scopus 로고
    • A Theory of Mutual Funds: Optimal Fund Objectives and Industry Organization
    • Yale University
    • Mamaysky, H., and M. Spiegel, 2001, "A Theory of Mutual Funds: Optimal Fund Objectives and Industry Organization," working paper, Yale University.
    • (2001) Working Paper
    • Mamaysky, H.1    Spiegel, M.2
  • 54
    • 0000314740 scopus 로고
    • Lifetime Portfolio Selection Under Uncertainty: The Continuous Time Case
    • Merton, R., 1969, "Lifetime Portfolio Selection Under Uncertainty: The Continuous Time Case," Review of Economics and Statistics, 51, 247-257.
    • (1969) Review of Economics and Statistics , vol.51 , pp. 247-257
    • Merton, R.1
  • 55
    • 0011090049 scopus 로고
    • Optimum Consumption and Portfolio Rules in a Continuous Time Model
    • Merton, R., 1971, "Optimum Consumption and Portfolio Rules in a Continuous Time Model," Journal of Economic Theory, 3, 373-413.
    • (1971) Journal of Economic Theory , vol.3 , pp. 373-413
    • Merton, R.1
  • 56
    • 0003103429 scopus 로고
    • A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
    • Pliska, S., 1986, "A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios," Mathematics of Operations Research, 11, 371-382.
    • (1986) Mathematics of Operations Research , vol.11 , pp. 371-382
    • Pliska, S.1
  • 58
    • 0000488805 scopus 로고
    • The Economic Theory of Agency: The Principal's Problem
    • Ross, S. A., 1973, "The Economic Theory of Agency: The Principal's Problem," American Economic Review, 63, 134-139.
    • (1973) American Economic Review , vol.63 , pp. 134-139
    • Ross, S.A.1
  • 59
    • 0041191733 scopus 로고
    • On the Economic Theory of Agency and the Principle of Similarity
    • M. Balch, D. McFadden and Shin-Yen Wu (eds.), North-Holland, Amsterdam
    • Ross, S. A., 1974, "On the Economic Theory of Agency and the Principle of Similarity," in M. Balch, D. McFadden and Shin-Yen Wu (eds.), Essays on Economic Behavior Under Uncertainty, North-Holland, Amsterdam.
    • (1974) Essays on Economic Behavior Under Uncertainty
    • Ross, S.A.1
  • 60
    • 38249000224 scopus 로고
    • The First-Order Approach to the Continuous-Time Principal-Agent Problem with Exponential Utility
    • Schättler, H., and J. Sung, 1993, "The First-Order Approach to the Continuous-Time Principal-Agent Problem with Exponential Utility," Journal of Economic Theory, 61, 331-371.
    • (1993) Journal of Economic Theory , vol.61 , pp. 331-371
    • Schättler, H.1    Sung, J.2
  • 61
  • 62
    • 84993914968 scopus 로고
    • Moral Hazard and the Portfolio Management Problem
    • Stoughton, N., 1993, "Moral Hazard and the Portfolio Management Problem," Journal of Finance, 48, 2009-2028.
    • (1993) Journal of Finance , vol.48 , pp. 2009-2028
    • Stoughton, N.1
  • 63
    • 21844520792 scopus 로고
    • Linearity with Project Selection and Controllable Diffusion Rate in Continuous-Time Principal-Agent Problems
    • Sung, J., 1995, "Linearity with Project Selection and Controllable Diffusion Rate in Continuous-Time Principal-Agent Problems," RAND Journal of Economics, 26, 720-743.
    • (1995) RAND Journal of Economics , vol.26 , pp. 720-743
    • Sung, J.1
  • 64
    • 0344539380 scopus 로고    scopus 로고
    • Optimal Contracts Under Moral Hazard and Adverse Selection: A Continuous-Time Approach
    • University of Illinois at Chicago
    • Sung, J., 2000, "Optimal Contracts Under Moral Hazard and Adverse Selection: A Continuous-Time Approach," working paper, University of Illinois at Chicago.
    • (2000) Working Paper
    • Sung, J.1
  • 65
    • 0038185576 scopus 로고    scopus 로고
    • Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses
    • Wermers, R., 2000, "Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses," Journal of Finance, 55, 1655-1703.
    • (2000) Journal of Finance , vol.55 , pp. 1655-1703
    • Wermers, R.1
  • 66
    • 0000112188 scopus 로고
    • On the Theory of Syndicates
    • Wilson, R. B., 1968, "On the Theory of Syndicates," Econometrica, 36, 119-132.
    • (1968) Econometrica , vol.36 , pp. 119-132
    • Wilson, R.B.1
  • 67
    • 0345401842 scopus 로고    scopus 로고
    • Contracting on Real-Option Payoffs
    • University of California, Berkeley
    • Wonder, N. X., 2000, "Contracting on Real-Option Payoffs," working paper, University of California, Berkeley.
    • (2000) Working Paper
    • Wonder, N.X.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.