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Moral Hazard and the Portfolio Management Problem

Citations

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Cited by:

  1. Han, Min-Yeon & Jun, Sang-Gyung & Oh, Ji Yeol Jimmy & Kang, Hyoung-Goo, 2023. "Who should choose the money managers? Institutional sponsors' equity manager performance," Pacific-Basin Finance Journal, Elsevier, vol. 78(C).
  2. Lagziel, David & Lehrer, Ehud, 2018. "Reward schemes," Games and Economic Behavior, Elsevier, vol. 107(C), pages 21-40.
  3. Huddart, Steven, 1999. "Reputation and performance fee effects on portfolio choice by investment advisers1," Journal of Financial Markets, Elsevier, vol. 2(3), pages 227-271, August.
  4. Andrea M. Buffa & Dimitri Vayanos & Paul Woolley, 2022. "Asset Management Contracts and Equilibrium Prices," Journal of Political Economy, University of Chicago Press, vol. 130(12), pages 3146-3201.
  5. Nasini, Stefano & Labbé, Martine & Brotcorne, Luce, 2022. "Multi-market portfolio optimization with conditional value at risk," European Journal of Operational Research, Elsevier, vol. 300(1), pages 350-365.
  6. Malcomson James M, 2009. "Principal and Expert Agent," The B.E. Journal of Theoretical Economics, De Gruyter, vol. 9(1), pages 1-36, May.
  7. Sergey Nadtochiy & Thaleia Zariphopoulou, 2018. "Optimal contract for a fund manager, with capital injections and endogenous trading constraints," Papers 1802.09165, arXiv.org.
  8. 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.
  9. Palomino, Frederic & Sadrieh, Abdolkarim, 2011. "Overconfidence and delegated portfolio management," Journal of Financial Intermediation, Elsevier, vol. 20(2), pages 159-177, April.
  10. 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.
  11. Saltuk Ozerturk, 2007. "Stock recommendation of an analyst who trades on own account," RAND Journal of Economics, RAND Corporation, vol. 38(3), pages 768-785, September.
  12. Zsolt Bihary & P'eter Cs'oka & P'eter Ker'enyi & Alexander Szimayer, 2019. "Self-respecting worker in the precarious gig economy: A dynamic principal-agent model," Papers 1902.10021, arXiv.org, revised Aug 2022.
  13. Michael Ewens & Charles M. Jones & Matthew Rhodes-Kropf, 2013. "The Price of Diversifiable Risk in Venture Capital and Private Equity," The Review of Financial Studies, Society for Financial Studies, vol. 26(8), pages 1854-1889.
  14. Guillermo Alonso Alvarez & Sergey Nadtochiy & Kevin Webster, 2022. "Optimal brokerage contracts in Almgren-Chriss model with multiple clients," Papers 2204.05403, arXiv.org.
  15. Jian Wang & Xintian Zhuang & Jun Yang & Jiliang Sheng, 2014. "The effects of optimism bias in teams," Applied Economics, Taylor & Francis Journals, vol. 46(32), pages 3980-3994, November.
  16. Palomino, Frederic & Prat, Andrea, 2003. "Risk Taking and Optimal Contracts for Money Managers," RAND Journal of Economics, The RAND Corporation, vol. 34(1), pages 113-137, Spring.
  17. Luigi Iovino, 2012. "Sophisticated Intermediation and Aggregate Volatility," 2012 Meeting Papers 965, Society for Economic Dynamics.
  18. Huang, Shiyang & Qiu, Zhigang & Yang, Liyan, 2020. "Institutionalization, delegation, and asset prices," Journal of Economic Theory, Elsevier, vol. 186(C).
  19. Gumbel, Alexander, 2005. "Herding in delegated portfolio management: When is comparative performance information desirable?," European Economic Review, Elsevier, vol. 49(3), pages 599-626, April.
  20. Alexander Gümbel, 2001. "Emerging Markets and Entry by Actively Managed Funds," OFRC Working Papers Series 2001fe12, Oxford Financial Research Centre.
  21. Donaldson, Jason Roderick & Piacentino, Giorgia, 2018. "Contracting to compete for flows," Journal of Economic Theory, Elsevier, vol. 173(C), pages 289-319.
  22. García, Diego & Vanden, Joel M., 2009. "Information acquisition and mutual funds," Journal of Economic Theory, Elsevier, vol. 144(5), pages 1965-1995, September.
  23. OZERTURK, Saltuk, 2005. "Stock recommendation of an analyst who trades on own account," LIDAM Discussion Papers CORE 2005089, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  24. Jeremy Burke & Angela A. Hung & Jack Clift & Steven Garber & Joanne K. Yoong, 2015. "Impacts of Conflicts of Interest in the Financial Services Industry," Working Papers WR-1076, RAND Corporation.
  25. Markus Ibert & Ron Kaniel & Stijn Van Nieuwerburgh & Roine Vestman, 2018. "Are Mutual Fund Managers Paid for Investment Skill?," The Review of Financial Studies, Society for Financial Studies, vol. 31(2), pages 715-772.
  26. Villatoro, Félix, 2009. "The delegated portfolio management problem: Reputation and herding," Journal of Banking & Finance, Elsevier, vol. 33(11), pages 2062-2069, November.
  27. Tan, Lihua & Yang, Zhaojun, 2024. "Simple contracts with double-sided moral hazard and adverse selection," Economics Letters, Elsevier, vol. 236(C).
  28. Sheng, Jiliang & Wang, Jian & Wang, Xiaoting & Yang, Jun, 2014. "Asymmetric contracts, cash flows and risk taking of mutual funds," Economic Modelling, Elsevier, vol. 38(C), pages 435-442.
  29. Elena Asparouhova & Peter Bossaerts & Jernej Čopič & Brad Cornell & Jakša Cvitanić & Debrah Meloso, 2015. "Competition in Portfolio Management: Theory and Experiment," Management Science, INFORMS, vol. 61(8), pages 1868-1888, August.
  30. Paulo Coutinho & Benjamin Miranda Tabak, 2002. "Delegated Portfolio Management," Working Papers Series 60, Central Bank of Brazil, Research Department.
  31. David Lagziel & Ehud Lehrer, 2024. "Performance cycles," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 77(4), pages 999-1024, June.
  32. Teresa Corzo Santamaría & Carlos Martinez de Ibarreta & Juan Rodriguez Calvo, 2018. "Timid performance fees in mutual funds," Journal of Asset Management, Palgrave Macmillan, vol. 19(1), pages 64-77, January.
  33. James Ross Booth & Lena Chua Booth & Daniel Deli, 2012. "Managerial Incentives and Audit Fees: Evidence from the Mutual Fund Industry," Accounting and Finance Research, Sciedu Press, vol. 1(1), pages 1-76, May.
  34. Benita, Francisco & Nasini, Stefano & Nessah, Rabia, 2022. "A cooperative bargaining framework for decentralized portfolio optimization," Journal of Mathematical Economics, Elsevier, vol. 103(C).
  35. T. S. Raghu & P. K. Sen & H. R. Rao, 2003. "Relative Performance of Incentive Mechanisms: Computational Modeling and Simulation of Delegated Investment Decisions," Management Science, INFORMS, vol. 49(2), pages 160-178, February.
  36. Salvatore Piccolo & Giovanni W. Puopolo & Luis Vasconcelos, 2016. "Non-Exclusive Financial Advice," Review of Finance, European Finance Association, vol. 20(6), pages 2079-2123.
  37. Hu, Xiao & Kang, Siqin & Ren, Long & Zhu, Shaokeng, 2024. "Interactive preference analysis: A reinforcement learning framework," European Journal of Operational Research, Elsevier, vol. 319(3), pages 983-998.
  38. Sotes-Paladino, Juan & Zapatero, Fernando, 2022. "Carrot and stick: A role for benchmark-adjusted compensation in active fund management," Journal of Financial Intermediation, Elsevier, vol. 52(C).
  39. Jun, Jooyong & Yoon, Kyoung-Soo, 2012. "Reservation wage and optimal contract for experts," Economics Letters, Elsevier, vol. 117(3), pages 619-623.
  40. Thomas Url, 2010. "Financial Market Crisis: Origin, Short-Term Reaction and Long-Term Adjustment Requirements," Austrian Economic Quarterly, WIFO, vol. 15(1), pages 54-77, April.
  41. Guo, Rui & Jiang, Ying & Li, Ao & Qiu, Zhigang & Wang, Hefei, 2021. "A model of delegation with a VaR constraint," Finance Research Letters, Elsevier, vol. 42(C).
  42. Sheng, Jiliang & Wang, Xiaoting & Yang, Jun, 2012. "Incentive contracts in delegated portfolio management under VaR constraint," Economic Modelling, Elsevier, vol. 29(5), pages 1679-1685.
  43. Laux, Christian & Probst, Daniel A., 2004. "One signal, two opinions: strategic heterogeneity of analysts' forecasts," Journal of Economic Behavior & Organization, Elsevier, vol. 55(1), pages 45-66, September.
  44. Jérémie Bertrand & Paul-Olivier Klein & Fotios Pasiouras, 2024. "National culture of secrecy and firms’ access to credit," Post-Print hal-04691594, HAL.
  45. Alexander Guembel, 2001. "Emerging Markets and Entry by Actively Managed Funds," Economics Series Working Papers 2001-FE-12, University of Oxford, Department of Economics.
  46. Natasa Bilkic & Thomas Gries, 2014. "Destructive Agents, Finance Firms, and Systemic Risk," Working Papers CIE 76, Paderborn University, CIE Center for International Economics.
  47. Michael Sockin & Mindy Z Xiaolan, 2023. "Delegated Learning and Contract Commonality in Asset Management," Review of Finance, European Finance Association, vol. 27(6), pages 1931-1975.
  48. Ana C. Díaz†Mendoza & Germán López†Espinosa & Miguel A. Martínez, 2014. "The Efficiency of Performance†Based Fee Funds," European Financial Management, European Financial Management Association, vol. 20(4), pages 825-855, September.
  49. Saltuk Ozerturk, 2004. "Direct sale of information when precision is unobservable," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, vol. 37(2), pages 269-293, May.
  50. Gülen Karakoç & Marco Pagnozzi & Salvatore Piccolo & Giovanni W. Puopolo, 2020. "Information Acquisition and Financial Advice," CSEF Working Papers 587, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  51. 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.
  52. Christian Riis Flor & Hans Frimor & Claus Munk, 2014. "Options in Compensation: Promises and Pitfalls," Journal of Accounting Research, Wiley Blackwell, vol. 52(3), pages 703-732, June.
  53. Cuoco, Domenico & Kaniel, Ron, 2011. "Equilibrium prices in the presence of delegated portfolio management," Journal of Financial Economics, Elsevier, vol. 101(2), pages 264-296, August.
  54. Berkowitz, Michael K. & Kotowitz, Yehuda, 2000. "Investor risk evaluation in the determination of management incentives in the mutual fund industry," Journal of Financial Markets, Elsevier, vol. 3(4), pages 365-387, November.
  55. Biao Luo & Chengyuan Wang & Tieshan Li, 2018. "Inequity-averse agents’ deserved concerns under the linear contract: a social network setting," Annals of Operations Research, Springer, vol. 268(1), pages 129-148, September.
  56. Karakoç, Gülen & Pagnozzi, Marco & Piccolo, Salvatore & Puopolo, Giovanni Walter, 2024. "Information acquisition and financial advice," Economic Modelling, Elsevier, vol. 141(C).
  57. James Wang, 2020. "Screening soft information: evidence from loan officers," RAND Journal of Economics, RAND Corporation, vol. 51(4), pages 1287-1322, December.
  58. Bertrand, Jérémie & Klein, Paul-Olivier & Pasiouras, Fotios, 2024. "National culture of secrecy and firms’ access to credit," Journal of Banking & Finance, Elsevier, vol. 168(C).
  59. Sheng, Jiliang & Xu, Si & An, Yunbi & Yang, Jun, 2021. "Dynamic portfolio strategy by loss-averse fund managers facing performance-induced fund flows," International Review of Financial Analysis, Elsevier, vol. 73(C).
  60. Wang, Jian & Wang, Xiaoting & Zhuang, Xintian & Yang, Jun, 2017. "Optimism bias, portfolio delegation, and economic welfare," Economics Letters, Elsevier, vol. 150(C), pages 111-113.
  61. Moreno, David & Rodríguez, Rosa & Zambrana, Rafael, 2018. "Management sub-advising in the mutual fund industry," Journal of Financial Economics, Elsevier, vol. 127(3), pages 567-587.
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