Management compensation and market timing under portfolio constraints

DOI10.1016/J.JEDC.2012.05.006MaRDI QIDQ311009zbMATH OpenOpenAlexFDO

Authors Vikas Agarwal, Juan-Pedro Gómez, Richard Priestley

Publication date 28 September 2016

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/11250/93744

zbMATH Keywords

benchmarkingincentive feemarket timingportfolio constraints

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38) Applications of statistical and quantum mechanics to economics (econophysics) (91B80) Portfolio theory (91G10) Corporate finance (dividends, real options, etc.) (91G50)

Recommendations

• Optimal benchmarking for active portfolio managers
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Cites work

• Active portfolio management with benchmarking: adding a value-at-risk constraint
• Delegated portfolio management
• Information acquisition and under-diversification
• Portfolio delegation under short-selling constraints
• Risk Management with Benchmarking

Cited in

(6)

• Managerial manipulation, corporate governance, and limited market participation
• Optimal benchmarking for active portfolio managers
• Equilibrium implications of delegated asset management under benchmarking
• Portfolio pumping, trading activity and fund performance
• Managerial Short-Termism and Investment: Evidence from Accelerated Option Vesting*
• Is corporate control effective when managers face investment timing decisions in incomplete markets?

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