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Delegated portfolio management, no churning, and relative performance-based incentive/sorting schemes

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  • S. Bhattacharya

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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Suggested Citation

  • 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.
    • Handle: RePEc:ema:worpap:99-22
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    Cited by:

    1. 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.
    2. 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.

    More about this item

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G20 - Financial Economics - - Financial Institutions and Services - - - General

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