Delegated portfolio management, optimal fee contracts, and asset prices

DOI10.1016/J.JET.2016.05.002MaRDI QIDQ308635zbMATHOpenAlexFDO

Authors Yuki Sato

Publication date 6 September 2016

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://serval.unil.ch/notice/serval:BIB_F7F6C0F757D4

zbMATH Keywords

asset pricesfund returnfund sizeoptimal feeportfolio delegationprice volatility

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Impact of two types of asymmetry on asset prices in delegated portfolio management
• Equilibrium implications of delegated asset management under benchmarking
• Institutionalization, delegation, and asset prices
• Delegated dynamic portfolio management under mean-variance preferences
• MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS

Cites work

• A Model of Intertemporal Asset Prices Under Asymmetric Information
• Churning Bubbles
• Investment horizons and asset prices under asymmetric information
• MUTUAL FUND PORTFOLIO CHOICE IN THE PRESENCE OF DYNAMIC FLOWS
• Smart Money, Noise Trading and Stock Price Behaviour
• The Present-Value Relation: Tests Based on Implied Variance Bounds

Cited in

(8)

• Delegated dynamic portfolio management under mean-variance preferences
• Performance evaluation and financial market runs
• Agency-based asset pricing
• How nonlinear benchmark in delegation contract can affect asset price and price informativeness
• Institutionalization, delegation, and asset prices
• Equilibrium implications of delegated asset management under benchmarking
• Impact of two types of asymmetry on asset prices in delegated portfolio management
• Delegated Learning and Contract Commonality in Asset Management

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