IDEAS home Printed from https://ideas.repec.org/a/spr/sjobre/v50y1998i6d10.1007_bf03371519.html
   My bibliography  Save this article

Risikoanreize bei der Gestaltung erfolgsabhängiger Entlohnungssysteme für Kapitalanlagegesellschaften

Author

Listed:
  • Raimond Maurer

    (Universität Mannheim)

Abstract

Summary Traditional fees reward portfolio managers with a fixed percentage of the volume of assets under management. Whether the increase of the asset volume comes from general market movements or from the portfolio manager’s skill in stock selection or market timing, is irrelevant. Performance based management fees link the advisor’s reward more directly to his skill. A potential problem with some of these contracts is that they possibly make portfolio managers to alter the risk of the portfolio in a manner, which is not wanted by the sponsors of the fund. This paper uses option pricing theory to develop conditions for contract parameters that provide proper risk incentives for different kinds of investment strategies.

Suggested Citation

  • Raimond Maurer, 1998. "Risikoanreize bei der Gestaltung erfolgsabhängiger Entlohnungssysteme für Kapitalanlagegesellschaften," Schmalenbach Journal of Business Research, Springer, vol. 50(6), pages 507-530, June.
    • Handle: RePEc:spr:sjobre:v:50:y:1998:i:6:d:10.1007_bf03371519
    DOI: 10.1007/BF03371519
    as

    Download full text from publisher

    File URL: http://link.springer.com/10.1007/BF03371519
    File Function: Abstract
    Download Restriction: no
    File URL: https://libkey.io/10.1007/BF03371519?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Franco Modigliani & Gerald A. Pogue, 1975. "Alternative Investment Performance Fee Arrangements and Implications for SEC Regulatory Policy," Bell Journal of Economics, The RAND Corporation, vol. 6(1), pages 127-160, Spring.
    2. Stulz, ReneM., 1982. "Options on the minimum or the maximum of two risky assets : Analysis and applications," Journal of Financial Economics, Elsevier, vol. 10(2), pages 161-185, July.
    3. Mark Grinblatt & Sheridan Titman, 1989. "Adverse Risk Incentives and the Design of Performance-Based Contracts," Management Science, INFORMS, vol. 35(7), pages 807-822, July.
    4. Brown, Keith C & Harlow, W V & Starks, Laura T, 1996. "Of Tournaments and Temptations: An Analysis of Managerial Incentives in the Mutual Fund Industry," Journal of Finance, American Finance Association, vol. 51(1), pages 85-110, March.
    5. Golec, Joseph H., 1992. "Empirical Tests of a Principal-Agent Model of the Investor-Investment Advisor Relationship," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 27(1), pages 81-95, March.
    6. Robert C. Merton, 2005. "Theory of rational option pricing," World Scientific Book Chapters, in: Sudipto Bhattacharya & George M Constantinides (ed.), Theory Of Valuation, chapter 8, pages 229-288, World Scientific Publishing Co. Pte. Ltd..
    7. William Margrabe, 1976. "Alternative Investment Performance Fee Arrangements and Implications for SEC Regulatory Policy: Comment," Bell Journal of Economics, The RAND Corporation, vol. 7(2), pages 716-718, Autumn.
    8. Sharpe, W F, 1981. "Decentralized Investment Management," Journal of Finance, American Finance Association, vol. 36(2), pages 217-234, May.
    9. Bhattacharya, Sudipto & Pfleiderer, Paul, 1985. "Delegated portfolio management," Journal of Economic Theory, Elsevier, vol. 36(1), pages 1-25, June.
    10. Johnson, Herb, 1987. "Options on the Maximum or the Minimum of Several Assets," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 22(3), pages 277-283, September.
    11. Heckerman, Donald G., 1975. "Motivating managers to make investment decisions," Journal of Financial Economics, Elsevier, vol. 2(3), pages 273-292, September.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Michael Krapp, 2000. "Relative Leistungsbewertung im dynamischen Kontext — Eine Analyse der Kollusionsproblematik bei wiederholter Delegation," Schmalenbach Journal of Business Research, Springer, vol. 52(3), pages 257-277, May.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Agarwal, Vikas & Gómez, Juan-Pedro & Priestley, Richard, 2012. "Management compensation and market timing under portfolio constraints," Journal of Economic Dynamics and Control, Elsevier, vol. 36(10), pages 1600-1625.
    2. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
    3. Dominique Guegan & Jing Zhang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," PSE-Ecole d'économie de Paris (Postprint) halshs-00368336, HAL.
    4. Dominique Guegan & Jing Zang, 2009. "Pricing bivariate option under GARCH-GH model with dynamic copula: application for Chinese market," The European Journal of Finance, Taylor & Francis Journals, vol. 15(7-8), pages 777-795.
    5. Athanasios Orphanides, "undated". "Compensation Incentives and Risk Taking Behavior: Evidence from Mutual Funds," Finance and Economics Discussion Series 1996-21, Board of Governors of the Federal Reserve System (U.S.), revised 10 Dec 2019.
    6. Jing Zhang & Dominique Guegan, 2008. "Pricing bivariate option under GARCH processes with time-varying copula," PSE-Ecole d'économie de Paris (Postprint) halshs-00286054, HAL.
    7. S H Martzoukos, 2009. "Real R&D options and optimal activation of two-dimensional random controls," Journal of the Operational Research Society, Palgrave Macmillan;The OR Society, vol. 60(6), pages 843-858, June.
    8. Mark Broadie & Jérôme Detemple, 1996. "Recent Advances in Numerical Methods for Pricing Derivative Securities," CIRANO Working Papers 96s-17, CIRANO.
    9. Gil-Bazo, Javier, 2001. "Portfolio management fees: assets or profits based compensation?," DEE - Working Papers. Business Economics. WB wb012207, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa.
    10. Boyle, Phelim P. & Lin, X. Sheldon, 1997. "Bounds on contingent claims based on several assets," Journal of Financial Economics, Elsevier, vol. 46(3), pages 383-400, December.
    11. Pegaret Pichler, 2004. "Optimal Contracts for Teams of Money Managers," Econometric Society 2004 North American Winter Meetings 495, Econometric Society.
    12. Rombouts, Jeroen V.K. & Stentoft, Lars, 2011. "Multivariate option pricing with time varying volatility and correlations," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2267-2281, September.
    13. Ron Sanchez, 2003. "Integrating transaction costs theory and real options theory," Managerial and Decision Economics, John Wiley & Sons, Ltd., vol. 24(4), pages 267-282.
    14. Raphaëlle Bellando, 2008. "Le conflit d'agence dans la gestion déléguée de portefeuille : une revue de littérature," Revue d'économie politique, Dalloz, vol. 118(3), pages 317-339.
    15. Zhang, J. & Guégan, D., 2008. "Pricing bivariate option under GARCH processes with time-varying copula," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1095-1103, June.
    16. 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.
    17. Bengtsson, Jens, 2001. "Manufacturing flexibility and real options: A review," International Journal of Production Economics, Elsevier, vol. 74(1-3), pages 213-224, December.
    18. Michael Christensen & Michael Vangsgaard Christensen & Ken Gamskjaer, 2015. "Delegated portfolio management and optimal allocation of portfolio managers," Applied Economics, Taylor & Francis Journals, vol. 47(21), pages 2142-2153, May.
    19. Mauricio Contreras & Alejandro Llanquihu'en & Marcelo Villena, 2015. "On the Solution of the Multi-asset Black-Scholes model: Correlations, Eigenvalues and Geometry," Papers 1510.02768, arXiv.org.
    20. Ferson, Wayne E., 2013. "Investment Performance: A Review and Synthesis," Handbook of the Economics of Finance, in: G.M. Constantinides & M. Harris & R. M. Stulz (ed.), Handbook of the Economics of Finance, volume 2, chapter 0, pages 969-1010, Elsevier.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:spr:sjobre:v:50:y:1998:i:6:d:10.1007_bf03371519. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.springer.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.